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.
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- 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。