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Basel Credit Risk Models Create EAD PD LGD




       

 

 

 
Basel Credit Risk Models Create EAD PD LGD


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For Basel Risk Models

EAD Exposure at Default, PD Probability of default and LGD Loss Given Default will be created by credit risk models that use inputs from underlying transactions/facilities.

These models will usually be the responsibility of the business areas and they will be implemented and should be operated under formal change control to ensure the integrity of the output.

Although these models will be similar to those being developed for Economic Value Management (EVM), they differ in terms of both the inputs needed and calculation.

Therefore, the Accord models will be separate and in addition to the EVM models.


 

 

 

 

 

     
       
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