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An Explanatory Note on the Basel II IRB Risk Weight Functions
Company: Basel Committee on Banking Supervision
Company Url: Click here to open
Year Of Publication: 2005
Month Of Publication: July
Pages: 19
Download Count: 11
View Count: 2410
Comment Num: 0
Language: English
Source: regulatory material
Who Can Read: Free
Date: 8-16-2010
Publisher: Administrator
This paper purely focuses on explaining the Basel II risk weight formulas in a non-technical way by describing the economic foundations as well as the underlying mathematical model and its input parameters. By its very nature this means that this document cannot describe the full depth of the Basel Committee's thinking as it developed the IRB framework. For further, more technical reading, references to background papers are provided.
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