Blog Home


Category Archives: Basel II / III

Calculating IRB formula for capital requirements in Basel II – The HangZhou Constant

Posted on by aldopuch

By: Fred Vacelet, Eureka Financial Faculty The Basel II text, in its IRB (Internal Rating Based) formula for capital requirements, ignores a few unpleasant properties of the calculations when PDs are low: capital requirements negative, division by 0, non-monotonicity, to … Continue reading

Posted in Banking Regulations, Basel II / III, Risk Management | Tagged , | Leave a comment