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A Survey of Cyclical Effects in Credit Risk Measurement
Company: Bank for International Settlements
Company Url: Click here to open
Year Of Publication: 2003
Month Of Publication: January
Pages: 43
Download Count: 686
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 8-16-2005
Publisher: Administrator
We survey both academic and proprietary models to examine how macroeconomic and systematicrisk effects are incorporated into measures of credit risk exposure. Many models consider thecorrelation between the probability of default (PD) and cyclical factors. Few models adjust loss rates(loss given default) to reflect cyclical effects. We find that the possibility of systematic correlationbetween PD and LGD is also neglected in currently available models.
Allen, Linda Sign in to follow this author
Saunders, Anthony Sign in to follow this author
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