The New Basel Accord will allow internationally active banking organizations to calculate their credit risk capital requirements using an internal ratings based (IRB) approach, subject to supervisory review. One of the modeling components is loss given default (LGD), the credit loss incurred if an obligor of the bank defaults. The flexibility to determine LGD values tailored to a bank’s portfolio will likely be a motivation for a bank to want to move from the foundation to the advanced IRB approach. The appropriate degree of flexibility depends, of course, on what a bank knows about LGD broadly and about differentiated LGDs in particular; consequently supervisors must be able to evaluate “what a bank knows.” The key issues around LGD are: 1) What does LGD mean and what is its role in IRB? 2) How is LGD defined and measured? 3) What drives differences in LGD? 4) What approaches can be taken to model or estimate LGD? By surveying the academic and practitioner literature, with supportive examples and illustrations from public data sources, this paper is designed to provides basic answers to these questions. The factors which drive significant differences in LGD include place in the capital structure, presence and quality of collateral, industry and timing of the business cycle.
The New Basel Accord, expected to be implemented at year-end 2006, will require internationally active banks to use more risk sensitive methods for calculating credit risk capital requirements (Pillar 1 of the New Basel Capital Accord, or “Basel 2”). This paper discusses a key technical component of the Accord, “loss given default” (LGD) for corporate exposures.
This computer’s compatibility is tested and verified by Acer’s internal testing department. All of its system functions are tested under Windows XP Home environment. Refer to the following lists for components, adapter cards, and peripherals which have passed these tests. Regarding configuration, combination and test procedures, please refer to the Aspire 1350 Compatibility Test Report released by the Acer Mobile System Testing Department.
This manual has been prepared with the assistance of service and engineering specialists to acquaint you with the operation and maintenance of your new vehicle. It is supplemented by a Warranty Information Booklet and various customer oriented documents. You are urged to read these publications carefully. Following the instructions and recommendations in this manual will help assure safe and enjoyable operation of your vehicle.
