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Basel II Correlation Values
Company: FitchRatings
Company Url: Click here to open
Year Of Publication: 2008
Month Of Publication: May
Pages: 17
Download Count: 14
View Count: 1496
Comment Num: 0
Language: English
Source: white paper
Who Can Read: Free
Date: 8-16-2010
Publisher: Administrator
Summary
This report provides an empirical study of the Basel II asset value correlation assumptions for the internal ratings-based (IRB) approach. By statistically analyzing empirical loss data within the context of the IRB modeling framework, Fitch Ratings is able to derive correlation estimates across a range of asset types that are consistent with the long-run historical performance and risk profile of these assets. The methodology enables financial institutions analysts to assess the Basel II correlation assumptions and, in turn, IRB capital levels for particular portfolios.
Author(s)
Hansen, Martin Sign in to follow this author
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