A simulation study on the impact of correlation between LGD and EAD on loss calculation when different LGD definitions are considered.
Saved in:
| Title: | A simulation study on the impact of correlation between LGD and EAD on loss calculation when different LGD definitions are considered. |
|---|---|
| Authors: | Lopes, Samuel Da-Rocha samuel.lopes@ecb.int, Nunes, Tiago |
| Source: | Journal of Banking Regulation. Mar2010, Vol. 11 Issue 2, p156-167. 12p. 1 Diagram, 2 Charts, 11 Graphs. |
| Database: | Business Source Ultimate |
| ISSN: | 17456452 |
|---|---|
| DOI: | 10.1057/jbr.2010.7 |
