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Loss given default or LGD is the share of an asset that is lost if a borrower defaults. It is a common parameter in risk models and also a parameter used in the calculation of economic capital, expected loss or regulatory capital under Basel II for a banking institution. This is an attribute of any exposure on bank's client.
Cancer slope factors (CSF) are used to estimate the risk of cancer associated with exposure to a carcinogenic or potentially carcinogenic substance. A slope factor is an upper bound, approximating a 95% confidence limit , on the increased cancer risk from a lifetime exposure to an agent by ingestion or inhalation .
This value does not take account of guarantees, collateral or security (i.e. ignores Credit Risk Mitigation Techniques with the exception of on-balance sheet netting where the effect of netting is included in Exposure At Default). For on-balance sheet transactions, EAD is identical to the nominal amount of exposure.
Historical simulation in finance's value at risk (VaR) analysis is a procedure for predicting the value at risk by 'simulating' or constructing the cumulative distribution function (CDF) of assets returns over time assuming that future returns will be directly sampled from past returns.
The key variables for (credit) risk assessment are the probability of default (PD), the loss given default (LGD) and the exposure at default (EAD).The credit conversion factor calculates the amount of a free credit line and other off-balance-sheet transactions (with the exception of derivatives) to an EAD amount [2] and is an integral part in the European banking regulation since the Basel II ...
Expected loss is not time-invariant, but rather needs to be recalculated when circumstances change. Sometimes both the probability of default and the loss given default can both rise, giving two reasons that the expected loss increases. For example, over a 20-year period only 5% of a certain class of homeowners default.
That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. [1] [2] Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk
Under some formulations, it is only equivalent to expected shortfall when the underlying distribution function is continuous at (), the value at risk of level . [2] Under some other settings, TVaR is the conditional expectation of loss above a given value, whereas the expected shortfall is the product of this value with the probability of ...
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