Hello Amy, You can look into the book: The Basel II Risk Parameters: Estimation, Validation and Stress Testing by (Editors) Bernd Engelmann and Robert Rauhmeier. Hope it helps.
Rgds, Atul On Tue, Jan 4, 2011 at 4:30 PM, <[email protected]> wrote: > Send R-SIG-Finance mailing list submissions to > [email protected] > > To subscribe or unsubscribe via the World Wide Web, visit > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > or, via email, send a message with subject or body 'help' to > [email protected] > > You can reach the person managing the list at > [email protected] > > When replying, please edit your Subject line so it is more specific > than "Re: Contents of R-SIG-Finance digest..." > > > Today's Topics: > > 1. Loss Given Default (LGD) using Beta estimation and Kernel > Density (Amy Milano) > > > ---------------------------------------------------------------------- > > Message: 1 > Date: Tue, 4 Jan 2011 00:59:55 -0800 (PST) > From: Amy Milano <[email protected]> > To: [email protected] > Subject: [R-SIG-Finance] Loss Given Default (LGD) using Beta > estimation and Kernel Density > Message-ID: <[email protected]> > Content-Type: text/plain > > Hello! > > Is it possible for someone to suggest some literature (basic level) on LGD > calculation (as per the BASEL - II accord)? If someone has an excel file, > that will be a graet help for me to understand the concept. > > Thanking you all in advance and best wishes for the new year 2011. > > Regards > > Amy > > > > > [[alternative HTML version deleted]] > > > > ------------------------------ > > _______________________________________________ > R-SIG-Finance mailing list > [email protected] > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > > > End of R-SIG-Finance Digest, Vol 80, Issue 4 > ******************************************** > [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
