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credit risk parameters

  1. Nicole Seaman

    P2.T7.519. Basel II credit risk parameters and Solvency II (Hull)

    Learning outcomes: Define in the context of Basel II and calculate where appropriate: Probability of default (PD), Loss given default (LGD), Exposure at default (EAD), Worst-case probability of default. Differentiate between solvency capital requirements (SCR) and minimum capital requirements...