Credit Risk Factor Modeling and the Basel Ii IRB Approach

32 Pages Posted: 8 Jun 2016

See all articles by Alfred Hamerle

Alfred Hamerle

University of Regensburg - Faculty of Business, Economics & Information Systems

Thilo Liebig

Deutsche Bundesbank

Daniel Roesch

University of Regensburg

Date Written: 2003

Abstract

Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial

Keywords: Credit Risk, Credit Ratings, Probability of Default, Bank Regulation

JEL Classification: G21, C1

Suggested Citation

Hamerle, Alfred and Liebig, Thilo and Roesch, Daniel, Credit Risk Factor Modeling and the Basel Ii IRB Approach (2003). Bundesbank Series 2 Discussion Paper No. 2003,02, Available at SSRN: https://ssrn.com/abstract=2793952

Alfred Hamerle (Contact Author)

University of Regensburg - Faculty of Business, Economics & Information Systems ( email )

Universitstrasse 31
Regensberg D-93053
Germany

Thilo Liebig

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Daniel Roesch

University of Regensburg ( email )

Chair of Statistics and Risk Management
Faculty of Business, Economics and BIS
Regensburg, 93040
Germany

HOME PAGE: http://www-risk.ur.de/

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