Discounting

Discounting [49]

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Bullet points include: VaR: focuses on PD element alone TVaR: also takes into account LGD Markets (and some parts of existing regulatory frameworks) recognise the need to take into account LGD as well as PD when valuing and assessing the riskiness of a credit sensitive instrument Why don’t we therefore apply concept to whole portfolio?

Bullet points include: VaR: focuses on PD element alone TVaR: also takes into account LGD Markets (and some parts of existing regulatory frameworks) recognise the need to take into account LGD as well as PD when valuing and assessing the riskiness of a credit sensitive instrument Why don’t we therefore apply concept to whole portfolio?

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