Beta-distributed LGD with mean per A-037, stdev 0.20-0.25
| source | BIS Working Paper No. 322 (recovery rate dynamics) |
| derivation | published_source |
| quality | published |
| regulatory frameworks | Basel III IRB |
| set | 2026-05-25 |
| last reviewed | 2026-05-25 |
| next review due | 2026-06-30 |
Used in CVA simulation; introduces recovery uncertainty beyond point estimate.