correlation between) interest income and the components of non-interest income on this risk measure is assessed. The heterogeneity …

to as PD-LGD correlation (here PD refers to probability of default, which is often used synonymously with default rate …). There is a large literature on modelling stochastic LGD and PD-LGD correlation, but there is a dearth of literature on using … deviation probabilities across a wide variety of PD-LGD correlation models that have been proposed in the literature. …

correlation into a commonly used model of default and portfolio credit risk by allowing for dependency between firm default risk …