Table of Contents

Introduction

Economic foundations of the risk weight formulas

Regulatory requirements to the Basel credit risk model

Model specification :

- The ASRF framework
- Average and conditional PDs
- Loss Given Default
- Expected versus Unexpected Losses
- Asset correlations
- Maturity adjustments
- Exposure at Default and risk weighted assets
- Calibration of the model
- Confidence level
- Supervisory estimates of asset correlations for corporate, bank and sovereign exposures
- Specification of the retail risk weight curves


References