rho = 0.20-0.30 between PD and 1-LGD; PDs and losses rise together in stress
| source | BIS Basel III consultative documents |
| derivation | expert_judgment |
| quality | estimated |
| regulatory frameworks | Basel III |
| set | 2026-05-25 |
| last reviewed | 2026-05-25 |
| next review due | 2026-06-30 |
Captures recession dynamic where defaults rise + recovery falls simultaneously.