Download This PaperThe Risk Weights of the IRB Approaches
RiskNEWS, pp. 3-32, November 2001
30 Pages Posted: 20 Jan 2005
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: Suggested Citation
IZA Institute of Labor Economics
P.O. Box 7240
Bonn, D-53072
Germany
CESifo (Center for Economic Studies and Ifo Institute)
Poschinger Str. 5
Munich, DE-81679
Germany
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Default Risk in Equity Returns
By Maria Vassalou and Yuhang Xing
-
News Related to Future GDP Growth as a Risk Factor in Equity Returns
-
News Related to Future GDP Growth as Risk Factors in Equity Returns
-
By John Y. Campbell, Jens Hilscher, ...
-
By John Y. Campbell, Jens Hilscher, ...
-
Forecasting Default with the Kmv-Merton Model
By Sreedhar T. Bharath and Tyler Shumway
-
Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns
-
By Maria Vassalou and Yuhang Xing
-
Bankruptcy Prediction With Industry Effects
By Sudheer Chava and Robert A. Jarrow