La correlazione tra PD ed LGD nell’analisi del rischio di credito

Abstract

Working Paper Ircres-CNR 14/2017. The international regulation on banking developed by Basel Committee on Banking Supervision has set a simplified link between default probabilities and loss given default, avoiding to introduce the correlation. The scientific literature ha proposed many models that try to improve the Basel framework. This article examines the most important models proposed in the literature and apply two of them to aggregate data from the Bank of Italy

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