• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Article

Исследование взаимосвязи параметров моделей внутренних рейтингов оценки кредитного риска — вероятности дефолта и доли убытка при дефолте (часть 1)

Currently capital adequacy ratio is one of the main prudential constraints for banks that reflects bank's capability to cover losses in case its borrowers do not pay back. To estimate capital adequacy ratio based on internal ratings based (IRB) models probability of default (PD) and loss given default (LGD) are considered. This is the first paper providing PD-LGD estimate for Russian companies.