Assessing Bank's Default Probability Using the ASRF Model

In this paper we show that the ASRF model approach and the assumptions in Basel II regulatory framework could be used to develop estimation of the probability of banks' failure. The Basel II framework is based on a Basel II ASRF model approach. The estimation of the probability of default could be made over the capital ratio from supervisory authorities (non-public information) or over the capital ratio from balance sheet data (publicly available information)