main risk components, the Probability of Default (PD) and the Loss Given Default (LGD) have been the subject of greater …

integration on the transmission of economic shocks from one country to another and consequently on the sensitivity of loan loss …

internationally active banks and other financial institutions. The OR is the unexpected loss, which is the difference between the 99 …:9 per cent quantile and the mean of the loss distribution. This paper adapts non-parametric methods based on heavy … nonparametric methods is that there are no assumptions made about the shape of loss distributions and that data determines their …