Title:
Unexpected loss multiperiodale e pricing del rischio di credito
Description:
Working Paper Ircres-CNR 12/2020. The banks’ capital regulation is essentially static in nature and considers the regulatory requirement as the difference between two expected losses: the first is based on a stressed probability of default and the second is based on the expected probability of default. The framework defined in this paper considers the credit risk as the volatility of the discounted credit losses, that is coherent with the credit risk pricing. Nevertheless, there are some open questions in this framework, as the calibration of the capital requirement and the different kinds of correlations to be estimated.
Publisher:
Ircres-CNR
Date:
2020
