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January 31, 2005
Basel default
Probability of Default (PD)
- the probability that a specific customer will default
within the next 12 months.
Loss Given Default (LGD)
- the percentage of each credit facility that will be lost
if the customer defaults.
Exposure at Default (EAD)
- the expected exposure for each credit facility in the
event of a default.
PD, LGD, and EAD are key measures used by Basel II: Peldec.
Posted by omor at January 31, 2005 01:45 PM