Search Results - subject:"ASRF model"

Simulating credit loss distributions : empirical versus the Vasicek model

Milonas, Natasa; Van Vuuren, Gary - In: International journal of economics and financial issues … 14 (2024) 2, pp. 77-88

Persistent link: https://www.econbiz.de/10014584054

Assessing bank's default probability using the ASRF model

Radkov, Petar; Minkova, Leda - Volkswirtschaftliche Fakultät, … - 2011

In this paper it is shown how a Vasicek-model approach and the assumptions in Basel 2 regulatory framework can be used to develop measures of the probability of banks' failure. The Basel 2 framework is based on a Vasicek-model approach. The estimation of the propose measure of bank probability...

Persistent link: https://www.econbiz.de/10011112342

Simulation based approach for measuring concentration risk

Kim, Joocheol; Lee, Duyeol - Volkswirtschaftliche Fakultät, … - 2007

Asymptotic Single Risk Factor (ASRF) model is used to derive the regulatory capital formula of Internal Ratings …-Based approach in the new Basel accord (Basel II). One of the important assumptions in ASRF model for credit risk is that the given …

Persistent link: https://www.econbiz.de/10005619956

Modelling and calibration errors in measures of portfolio credit risk

Tarashev, Nikola A.; Zhu, Haibin - 2007

reveals that violations of key assumptions of the well-known Asymptotic Single-Risk Factor (ASRF) model are virtually …

Persistent link: https://www.econbiz.de/10003512271