FRM: Expected loss (EL) on credit asset if PD, LGD are correlated

Uploader: Bionic Turtle

Original upload date: Tue, 23 Sep 2008 00:00:00 GMT

Archive date: Wed, 08 Dec 2021 03:15:01 GMT

Expected loss (EL) calculations typically assume no correlation (i.e., they assume independence) between probability of default (PD) and loss given default (LGD). Basel II internal ratings-based (IRB)
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