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Under the new Capital Accord, banks choose between two different types of risk management systems, the standard or the internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the presence of supervision by bank regulators. The model...
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-at-Risk (VaR)-aggregation of risks. In this article, we highlight some of the underlying issues, both methodologically, as well as …
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product of exposure at default (EAD), probability of default (PD), and loss given default (LGD) of the loan. Simple weighted … (by EAD) means of PD and LGD are intuitive summaries however they do not satisfy a reconciliation property whereby their … product with the total EAD equals the sum of the individual expected losses. This makes their interpretation problematic …
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