NSSOL & CPC 2008 (p.23) Credit Pricing Corp. @
Now Printing PD
i 1 i 2 t = 1 α t Now Printing T i i i 1 1 2 2 n n T exp( βx ) βx = β x + β x + Lβ x x i DTI x i
Now Printing Now Printing Now Printing
Now Printing
PV LGD = 1 Now Printing LGD (PV) + PV = 1
DF (5%) DF DF (95%) LGD Now Printing 1 2 3 10% 10% 80% 18% 25% 57% 25% 38% 37%
CPR Now Printing
Now Printing
2002 2007 () () () ( ) () ()
DF DF DF
Basel II /
BaselPDLGD Basel I/F