Basel II Models

From Open Risk Manual

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

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