A simulation study on the impact of correlation between LGD and EAD on loss calculation when different LGD definitions are considered.
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| Title: | A simulation study on the impact of correlation between LGD and EAD on loss calculation when different LGD definitions are considered. |
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| 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 |
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