Basel III Summary – Guide to the changes
The Bank of International Settlements announced changes to the Basel rules on capital adequacy, now referred to as Basel III in September 2010.
Instead of...
Probability of default
The probability of default (PD) of a borrower or group of borrowers is the central measurable concept on which the IRB approach is built.
The...
Loss Given Default
Loss Given Default is the magnitude of likely loss on the exposure: this is termed the Loss Given Default (LGD), and is expressed as...
Exposure at Default
If an asset suffers from a lower valuation or a loan defaults, the Exposure at Default figure is how much the firm will lose...
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