The Risk Weights of the IRB Approaches

RiskNEWS, pp. 3-32, November 2001

30 Pages Posted: 20 Jan 2005

See all articles by Hans Gersbach

Hans Gersbach

ETH Zurich - CER-ETH -Center of Economic Reseaarch; IZA Institute of Labor Economics; CESifo (Center for Economic Studies and Ifo Institute); Centre for Economic Policy Research (CEPR)

Uwe Wehrspohn

Wehrspohn GmbH & Co. KG; University of Wuerzburg

Abstract

The article analyses the risk weights of the IRB approaches as suggested by the Basel Committee on Banking Supervision in January 2001. It is shown that the risk weight formulas can be considerably simplified to an elementary formula which has become a part of later suggestions of the Basel Committee.

Note: The Downloadable document is in German.

Keywords: Banking supervision, Basel 2, IRB

JEL Classification: G28, K23

Suggested Citation

Gersbach, Hans and Wehrspohn, Uwe, The Risk Weights of the IRB Approaches. RiskNEWS, pp. 3-32, November 2001. Available at SSRN: https://ssrn.com/abstract=651181

Hans Gersbach

ETH Zurich - CER-ETH -Center of Economic Reseaarch ( email )

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IZA Institute of Labor Economics

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CESifo (Center for Economic Studies and Ifo Institute)

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Centre for Economic Policy Research (CEPR)

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United Kingdom

Uwe Wehrspohn (Contact Author)

Wehrspohn GmbH & Co. KG ( email )

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Mannheim, D-68305
Germany
+49 (0) 621 764 46 68 (Phone)
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University of Wuerzburg ( email )

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Germany
+49 (0)931 / 350 12 40 (Phone)
+49 (0)931 / 312 95 5 (Fax)

HOME PAGE: http://www.fzrm.uni-wuerzburg.de

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