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 …

lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …

Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of …

The aim of this paper is to propose a methodology to estimate loss given default (LGD) and apply it to a set of micro …-data of loans to SME and corporations of an anonymous commercial bank from Central Europe. LGD estimates are important inputs … in the pricing of credit risk and the measurement of bank profitability and solvency. Basel II Advance IRB Approach …

behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS …) for hedging purposes. Regulation is found to induce the risk-neutral bank to behave in a more risk-sensitive way: Compared …. Under the Substitution Approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its total …

This paper discusses the relationship between bank size and risk-taking under Pillar I of the New Basel Capital Accord …

with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default …, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of … bonds with the same rating. In particular, loss given default, the sensitivities to macroeconomic risk, and model risk …

Supervision in June 2004 the eligible regulatory capital amounts to the unexpected losses of credits. For expected losses the bank … probability of default (PD) and the appropriate loss given default (LGD) is necessary. While the determination of PD is regulated …

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