AdMathEdu : Jurnal Ilmiah Pendidikan Matematika, Ilmu Matematika dan Matematika Terapan
Vol 1, No 1 (2011): Juni

PERHITUNGAN BOBOT RESIKO KREDIT DENGAN PENDEKATAN ADVANCED INTERNAL RATING BASED (AIRB) MODEL LGD

Arina Hidayati, Nur ( Universitas Ahmad Dahlan)



Article Info

Publish Date
03 Sep 2012

Abstract

The Calculation of minimum capital charges with LGD model of AIRB approach is one of ways to calculate the credit risk weight, a part of banks efforts in managing the risks occurred because of defaulted debtors. In the AIRB approach, it is required components risks required to calculate the minimum capital charges, namely Probability of Default (PD), Loss Given Default (LGD),   Maturity (M). In addition, this model is also needed other risk components, namely: Conditional Probability of Default (CPD), Conditional Loss Given Default (CLGD) and Maturity Adjustment (MatAd). CLGD is a form of LGD modeling where the CLGD formulation formed by using beta distribution.

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Journal Info

Abbrev

AdMathEdu

Publisher

Subject

Education Mathematics

Description

Admathedu is a peer-reviewed open access journal published twice in a year (June and December) since 2011. The Admathedu aims to provide an national forum for researchers and professionals to share their ideas on all topics related to mathematics ...