The single risk factor approach to capital charges in case of correlated   loss given default rates
  A new methodology for incorporating LGD correlation effects into the Basel II risk weight functions is introduced. This methodology is based on modelling of LGD and default event with a single loss variable. The resulting formulas for capital charges are numerically compared to the current proposals by the Basel Committee on Banking Supervision.   Keywords: Regulatory capital charge, loss given default (LGD). 
Dirk Tasche