Credit Risk Factor Modeling and the Basel Ii IRB Approach
32 Pages Posted: 8 Jun 2016
Date Written: 2003
Abstract
Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial
Keywords: Credit Risk, Credit Ratings, Probability of Default, Bank Regulation
JEL Classification: G21, C1
Suggested Citation: Suggested Citation
Hamerle, Alfred and Liebig, Thilo and Roesch, Daniel, Credit Risk Factor Modeling and the Basel Ii IRB Approach (2003). Bundesbank Series 2 Discussion Paper No. 2003,02, Available at SSRN: https://ssrn.com/abstract=2793952 or http://dx.doi.org/10.2139/ssrn.2793952
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