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13 July 2005 Guidance on the estimation of loss given default (Reference to Paragraph 468 of the Basel II framework)
This document provides further clarification surrounding the quantification of loss-given-default (LGD) parameters used for Pillar 1 capital calculations.This guidance is not intended to amend the Revised Basel II Framework Document issued in June 2004 or to introduce any new rules.Content Type(s): Compendium Source(s): BCBS Policy Area(s): Financial Regulation and Supervision Topic(s): Basel I/II/III, Market Risk, Risk Management