Pomazanov, Mikhail - In: Risk assessment and financial regulation in emerging …, (pp. 145-175). 2021
the RR/LGD rating model, and to calibrate the model using a linear form that minimizes residual risk. The residual risk in … expected level. Such residual risk should be considered in the capital requirements for unexpected losses in the loan portfolio …. This paper considers a simple residual risk model defined by one parameter. By developing an optimal RR/LGD model, it is …