In rating, the – previously planned, i.e. expected or – the actual default rates of the loans; if not expressed otherwise, calculated as the amount of the loss as a percentage of the exposures at the time of the counterparty default. Discrepancies between planned and incurred loss indicate poor calibration. – See default, default loss, probability of default, default, distance to default, calibration, credit, nonperforming, credit loss, probability of default, rating, reintermediation, setback effect, risk, debt, nonperforming, discriminatory power, validation. – Cf. Deutsche Bundesbank Monthly Report of September 2003, p. 63 ff (methodological), BaFin Annual Report 2003, p. 37 f (unexpected losses must also be brought into line with capital requirements), Deutsche Bundesbank Monthly Report of September 2004, p. 100 (overview of procedures for covering an expected loss under Basel II and IAS).

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University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.
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