Difference between revisions of "Risk Parameters"
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Latest revision as of 16:53, 1 September 2020
Definition
Risk Parameters is domain specific jargon for the set of risk measures used extensively for establishing capital requirements for Credit Risk in the Basel II (and subsequent) regulatory framework (specifically Pillar I)
List of Basel Risk Parameters
Issues and Challenges
- The Basel Risk Parameters are a necessary but not sufficient description of credit risk, in particular in Credit Portfolio Management context