Basel 2 IRB Risk Weight Functions : Demonstration & Analysis

This paper introduces Basel II, the construction of risk weight functions and their limits in two sections:In the first, basic fundamentals are presented to better understand these prerequisites: the likelihood of losses, expected and unexpected loss, Value at Risk, and regulatory capital. Then we discuss the founding principles of the regulatory formula for risk weight functions and how it works.The latter section is dedicated to studying the different parameters of risk weight functions, in order to discuss their limits, modifications and impacts on the regulatory capital charge coefficient

MoreLess

Year of publication:	2015
Authors:	Genest, Benoit
Other Persons:	Brie, Leonard (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Basler Akkord \| Basel Accord \| Kreditrisiko \| Credit risk \| Bankrisiko \| Bank risk \| Risiko \| Risk \| Risikomanagement \| Risk management \| Risikomaß \| Risk measure

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10013026283