Charge for Credit Risk (internal economic capital)

[kasoker]

HI DAVID

i think there is mistakes in your exl 7.a.2

first the LGD IS NOT SET ON THE RIGHT CELL

second: why do you calculate the umul pd like you do: 1-(1-pd)^sd isn't it supposed to be: 1-(1-pd)^tenor?

would apprechiate if u can help here

thanks