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 …

The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The … correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …

correlation. …

The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default …

described in the literature: the loss distribution approach and the extreme value theory (EVT). Within the EVT analysis, two …

predictive model. In this article, the definition of this measure is adapted to the specific needs of the frequency and severity … severity models. …

conditions. Therefore, a correlation implied from tranches can be seen as a measure of the general health of the credit market …