Asymptotic Single Risk Factor Assumption
نویسندگان
چکیده
The proposals of the Basel Committee on Banking Supervision for the revision of minimum requirements for bank’s risk capital leave the quantification of lossgiven-default (LGD) parameter used for capital calculation unspecified. This paper proposes a new methodology for incorporating LGD parameter explicitly into the Basel risk weight function. Numerical examples based on the new methodology are compared to the current proposals of the Basel committee on Banking Supervision. ∗ Corresponding author. Email addresses: [email protected] (Joocheol Kim), [email protected] (KiHyung Kim). Preprint submitted to Working Paper 17 November 2006
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