发帖
雷达卡
Table of Contents
1. Introduction.....................................................................................................................1
2. Economic foundations of the risk weight formulas ..........................................................1
3. Regulatory requirements to the Basel credit risk model..................................................4
4. Model specification..........................................................................................................4
4.1. The ASRF framework.............................................................................................4
4.2. Average and conditional PDs.................................................................................5
4.3. Loss Given Default.................................................................................................6
4.4. Expected versus Unexpected Losses ....................................................................7
4.5. Asset correlations...................................................................................................8
4.6. Maturity adjustments ..............................................................................................9
4.7. Exposure at Default and risk weighted assets .....................................................11
5. Calibration of the model ................................................................................................11
5.1. Confidence level...................................................................................................11
5.2. Supervisory estimates of asset correlations for corporate, bank and sovereign
exposures.............................................................................................................12
5.3. Specification of the retail risk weight curves ........................................................14
6. References ....................................................................................................................15
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