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2006•Journal of Xi'an University of Post and TelecommunicationsRequires access

Calculation of probability of default(PD) and loss given default(LGD) of internal ratings-based(IRB) approach

Tieshan Wang

Open publisher page 1 citations

Abstract

Internal Ratings-Based(IRB) Approach is a core content of New Basel Accord,and the calculation of Probability of Default(PD) and Loss Given Default(LGD) are the most important parts of IRB Approach.This paper explores the calculation methods of PD and LGD,then presents an econometric model of LGD,and finally proposes some suggestions for banks in China to implement the IRB Approach.

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What this paper is about

Internal Ratings-Based(IRB) Approach is a core content of New Basel Accord,and the calculation of Probability of Default(PD) and Loss Given Default(LGD) are the most important parts of IRB Approach.This paper explores the calculation methods of PD and LGD,then presents an econometric model of LGD,and finally proposes some suggestions for banks in China to implement the IRB Approach.

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Available abstract

Internal Ratings-Based(IRB) Approach is a core content of New Basel Accord,and the calculation of Probability of Default(PD) and Loss Given Default(LGD) are the most important parts of IRB Approach.This paper explores the calculation methods of PD and LGD,then presents an econometric model of LGD,and finally proposes some suggestions for banks in China to implement the IRB Approach.

Key concepts: Loss given default, Probability of default, Basel II, Actuarial science, Core (optical fiber), Business, Computer science, Econometrics

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