2006•The Journal of Credit RiskRequires access

Basel requirements of downturn loss given default: modeling and estimating probability of default and loss given default correlations

Dawn Hunter

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Key concepts: Loss given default, Basel II, Probability of default, Credit risk, Default risk, Default, Non-performing loan, Econometrics

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Basel requirements of downturn loss given default: modeling and estimating probability of default and loss given default correlations — Research Paper | ScholarLens