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Granularity adjustment for regulatory capital assessment

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Granularity Adjustment for Regulatory Capital Assessment

Granularity Adjustment for Regulatory Capital Assessment

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Granularity Adjustment for Regulatory Capital Assessment∗ Michael B. Gordya and Eva L¨utkebohmertb aFederal Reserve Board bUniversity of Freiburg The credit value-at-risk model underpinning the internal ratings-based approach of Basel II and III assumes that idio-

  Assessment, Regulatory, Capital, Adjustment, Granularity, Granularity adjustment for regulatory capital assessment

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