individual banks need to estimate probability of default PD , loss given default LGD and exposure at default by themselves in order to set capital requirements of residential mortgages.

• 中文摘要因应新巴塞尔资本协定倡导的内部模型法，个别银行想要计提住宅贷款业务的资本需求额，需自行估算违约机率、违约损失率与违约暴险额。