This paper analyses the impact of various assumptions about the association between aggregate default probabilities and the loss given default on bank loans and corporate bonds, and seeks to empirically explain this critical relationship. Moreover, it simulates the effects of this relationship on the procyclicality of mandatory capital requirements like those proposed in 2001 by the Basel Committee on Banking Supervision. We present the analysis and results in four distinct sections.
SIMILAR POSTS
The power behind our SME risk models
Insights from models based on 30 million data points In the intricate landscape of credit risk assessment, precision holds the [...]
How ‘multi-search’ is revolutionising risk management
Wiserfunding's most recent blog post explores how the ‘multi-search’ feature is revolutionising risk management, and why you can’t afford to [...]
25 January 2024
KUKE selects Wiserfunding to digitise risk assessments
KUKE, Poland’s Export Credit Agency and a leading supplier of trade-facilitating solutions, has selected Wiserfunding, a frontrunner in business credit [...]