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Views required on New Framework for capital Computation for Securitization Risk in Banking Book BIS (read BASEL) has recently come up with new guidelines on computing capital requirement for securitization risk for Banks. I am particularly exploring the concept of External rating based...

ya.. am aware of the video and hence mentioned beta distribution.. hence values between 0-1

Hi just check if Beta Distribution fits in for LGD

In the equation LGD* = LGD x (E* / E) it is mentioned that 'E' is the current value of the exposure (i.e. cash lent or securities lent or posted). First query 1) Is the Effective loss given default % (LGD*) dependent on exposure or a combination of the type of facility and collateralised...

hi, is there any simpler way to find LGD variance the way we find Variance PD. It will of great help regards, Himaanshu

hi did u get the solution for the UL (i)th borrower formula.. is it correct? I know its tooo long after your post but... regards, Himaanshu