Example: confidence
Granularity adjustment for regulatory capital assessment
Found 1 free book(s)Granularity Adjustment for Regulatory Capital Assessment
www.ijcb.orgGranularity 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-