Search results with tag "Granularity adjustment for regulatory capital"

Granularity Adjustment for Regulatory Capital Assessment

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-

  Based, Internal, Approach, Regulatory, Capital, Direct, Ratings, Adjustment, Based approach, Granularity adjustment for regulatory capital, Granularity, Internal ratings