The European Banking Authority has published final Guidelines on the application of the Internal Ratings-Based approach, in particular, the estimation of risk parameters for non-defaulted exposures, ...

Turkey’s Banking Regulation and Supervision Agency (BDDK) is moving ahead with plans to permit the use of the Internal Ratings-Based (IRB) Approach to credit risk. Having relied on the Standardized ...

NEW YORK & LONDON--(BUSINESS WIRE)--A new report by Fitch demystifies the Basel II treatment of asset correlation and provides original empirical analysis of the correlation values assumed under the ...

In order to be compliant with the Basel regulations and the upcoming International Financial Reporting Standard 9, banks need two probabilities of default (PDs): point-in-time (PIT) and ...

Typical. You wait ages for one examination of the reliability of the IRB approach to own funds requirements to come along and then two appear at the same time. Just as the Basel Committee on Banking ...

Evaluate portfolio characteristics: Assess your portfolio's default level and external rating coverage. This evaluation will guide you in selecting the most appropriate target variable approach. This ...

We decompose credit default swap spreads of euro area member states into their risk premium and default risk elements. Further, we forecast one-year probabilities of default. The derived values can be ...

The asymptotic single risk factor (ASRF) approach is a simplified framework for determining regulatory capital charges for credit risk and has become an integral part of how credit risk capital ...