Basel IV by Martin Neisen Stefan Röth & Stefan Röth

Author:Martin Neisen,Stefan Röth & Stefan Röth
Language: eng
Format: epub
ISBN: 9783527814015
Publisher: John Wiley & Sons, Inc.
Published: 2013-12-24T00:00:00+00:00

6.4.3.2 Default Risk Charge (DRC)

The IRC applied so far is replaced by the DRC. Since the migration risk is included under the ES, the DRC refers exclusively to the default risk in order to avoid the possibility of the mitigation risk being taken into account twice. On top of enhanced requirements on the correlation calibration documentation, for instance, a two-factor model is prescribed for the DRC. This could require substantial adaptation from some banks. Moreover, it must be taken into account that probabilities of default (PDs) lower than 0.03% are not allowed for any debtor. This floor was strongly criticised during the consultation phase,130 since the default rates of AAA and AA debtors (especially sovereigns) are greatly overestimated.

Download

Copyright Disclaimer:
This site does not store any files on its server. We only index and link to content provided by other sites. Please contact the content providers to delete copyright contents if any and email us, we'll remove relevant links or contents immediately.