Analytical solutions for expected and unexpected losses with an additional loan
Year of publication: 
200712


Authors:  Yamashita, Satoshi ; Yoshiba, Toshinao 
Institutions:  Institute for Monetary and Economic Studies, Bank of Japan 
Subject:  Probability of default (PD)  Loss given default (LGD)  Exposure at default (EaD)  Expected loss (EL)  Unexpected loss (UL)  Stressed EL (SEL) 

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