Browsing by Subject "Vasicek distribution"
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Assessing the suitability of regulatory asset correlations applied to South African loan losses
(2015)The Basel Committee on Banking Supervision (BCBS) designed the Internal Ratings Based (IRB) approach, which is based on a single risk factor model. This IRB approach was de-signed to determine banks’ regulatory capital for ... -
Asset correlations in single factor credit risk models: an empirical investigation
(Taylor & Francis, 2016)The internal ratings-based (IRB) approach (based on a single risk factor model) was designed by the Basel Committee on Banking Supervision (BCBS) to determine banks' regulatory credit risk capital. Key inputs of the model ...