Loss Given Default Modeling under the Asymptotic Single Risk Factor Assumption

Korean Journal of Financial Studies 2007;36(2):223-236.
Published online April 30, 2007.

Loss Given Default Modeling under the Asymptotic Single Risk Factor Assumption

Joo Cheol Kim, Woo Hwan Kim, Ki Hyung Kim

Key Words: Basel 2,Loss-given-default,Regulatory capital,Risk,Systematic risk

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