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Persistent link: https://www.econbiz.de/10014332036
This paper addresses the inconsistency of downturn definition adopted by the conditional PD under the IRBA and the downturn LGD (latent variable based versus macroeconomic based). This will potentially result in risk underestimation and inadequate capital coverage. We confirm this...
Persistent link: https://www.econbiz.de/10012849039
Persistent link: https://www.econbiz.de/10012383961