systems and proceed with the four central categories of credit risk models (loan loss distributions, firm value models …

according to IFRS. Therefore, differences between loan loss provisions and expected losses should only result from different …The intention of a loan loss provision is the anticipation of the loan's expected losses by adjusting the book value of … the loan. Furthermore, this loan loss provision has to be compared to the expected loss according to Basel II and, in the …

The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula … is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss …-factor models where default and loss given default are driven by one systemic factor and by one or more idiosyncratic factors. In …

This paper focuses on the key credit risk parameter Loss Given Default (LGD). We describe its general properties and …

. In a partial-analytic framework we distinguish between the probability of default and the loss given default, model … Makroderivate als Instrumente des Hedging von Kreditrisiko durch eine große Bank zu untersuchen. In einem partialanalytischen Ansatz … unterscheiden wir die Wahrscheinlichkeit des Kreditausfalls und den Verlust bei Kreditausfall, modellieren in stilisierter Weise …