Basel II Models

From Open Risk Manual

Definition

The 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 or PD/LGD/EAD models.

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

References

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