From Basel 1 to Basel 3: The Integration of State-of-the-Art Risk Modeling in Banking Regulation pp 214-236 | Cite as
The Basel 2 Model
Chapter
Abstract
In this chapter, we shall try to give readers a deeper understanding of the Basel 2 formula. Gaining full comprehension is important, as it may affect the way we consider the quantification of the key variables (PD, LGD, Maturity, and EAD). It is also interesting to appreciate what choices were made by regulators, as the base case model can be extended to fulfill some requirements of pillar 2.
Keywords
Default Risk Asset Return Asset Class Default Rate Loss Distribution
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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Copyright information
© Laurent Balthazar 2006