Loss given default (LGD)
The simple link from default to LGD
The simple link from default to LGD
Systematic risk factors redefined
Systematic risk factors redefined
Breaking break clauses
Breaking break clauses
Risk USA: Regulators called on to restrict loan modelling choices
Less modelling freedom makes sense, says loan data expert – and the alternatives would be far worse
FSA forces UK banks to assume higher sovereign losses
Behind-the-scenes clampdown sets loss-given-default floor at 45% – and could make UK bonds less attractive
Credible capital: regulators prepare to tackle RWA divergence
Credible capital
Counterparty risk capital and CVA
Counterparty risk capital and CVA
Concern over accuracy of RWAs grows
A weight on their minds
Empirical performance of loss given default prediction models
Research Papers
Comparability of EBA stress tests questioned
The ability of banks to use their own internal models for determining stressed PDs and LGDs mean the results will not be comparable, bankers claim
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges