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Default Recovery Rates and LGD in Credit Risk Modeling and Practice
瀏覽:1310
日期:2024-10-09
1. Introduction Three main variables affect the credit risk of a financial asset: (i) the probability of default (PD), (ii) the “loss given default” (LGD), which is equal to one minus the recovery rate in the event of default (RR), and (iii) the exposure ...看更多