Das IRB-Modell des Kreditrisikos im Vergleich zum Modell einer logarithmisch normalverteilten Verlustfunktion

In 2004 the Basel Committee published an extensive revision of the capital charges whichcreates more risk sensitive capital requirements for banks. The New Accord called “InternationalConvergence of Capital Measurement and Capital Standard” provides in its first pillarfor a finer measurement of credit risk. Banks that have received supervisory approval to usethe Internal Ratings-Based (IRB) approach may rely on their own internal estimates of riskcomponents in determining the capital requirement for a given exposure.The IRB approach is based on measures of unexpected losses (UL) and expected losses (EL).The risk-weight functions produce capital requirements for the UL portion are based on a onefactor(Merton) model which relies furthermore on the assumption of an infinite fine-grainedcredit portfolio (also known as Vasicek-Model).As Moody´s stated in 2000: „Empirical tests … verified the log normal distribution for granularpools.” we compared both models in order to benchmark the IRB approach with anexisting and in practice already verified model which obviously uses similar assumptions.We, therefore, compute the capital requirement or Credit Value at Risk for given portfolios inboth approaches respectively and contrast the results.