Difference between revisions of "Basel II Models"
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Latest revision as of 12:15, 31 March 2021
Definition
Basel II Models is a class of internal credit risk models that are used as inputs for Regulatory Capital (Pillar I) calculations, first introduced under the Basel II framework.
Also known as IRB Models, PD/LGD/EAD models or Risk Parameters
Categories
Can be either Foundation or Advanced IRB. In the advanced approach PD, LGD and EAD Models are all based on internal estimates.
Issues and Challenges
See Also
References
