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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?
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).
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.