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I don't understand the difference between LGD and EAD. Is it correct to say that LGD is always smaller than EAD? I say this because I assume that once a customer defaults, the bank may be able to recover some part of the EAD. The LGD would then be the percentage of EAD that CANNOT be recovered, i.e. it's really a loss.
please explain what is Gini for PD at 18:56 in the video. also at 19:37 of video, in the backtesting table, how did we find probability? (at least please mention what model we used to derive those numbers).
Hi, I don’t have a background in statistics but curious to know the difference in EAD calculated under IRB and IMM…is it just that IMM has scenarios? Is there an overlap on the base case calculation?
I have made a beginner friendly (yet detailed) certification course on Quant Finance. For my course on Quantitative Finance contact analyticsuniversity@gmail.com or WhatsApp me on +31 625521289 or +91 9811519397 (do not call, just drop me a message on WhatsApp).
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Thanks for the video this is what I was waiting for.
Thank you
I don't understand the difference between LGD and EAD. Is it correct to say that LGD is always smaller than EAD?
I say this because I assume that once a customer defaults, the bank may be able to recover some part of the EAD. The LGD would then be the percentage of EAD that CANNOT be recovered, i.e. it's really a loss.
You are right!
Yes EAD>=LGD
please explain what is Gini for PD at 18:56 in the video.
also at 19:37 of video, in the backtesting table, how did we find probability? (at least please mention what model we used to derive those numbers).
Very nice video thanks alot
Great video, thanks!
Thank you Sir !
Hi, I don’t have a background in statistics but curious to know the difference in EAD calculated under IRB and IMM…is it just that IMM has scenarios? Is there an overlap on the base case calculation?
Well explain in short Backtesting , Would be great if there is code as well. Could It be develop in R?
yes, you can develop in R
thanks , nice video
Have interview tomorrow.
All the best!
Like #100 is from me.