How To Make Economic Time-Series-Based Risk Models More Accurate And Time Sensitive

Migration of flat capital requirements of Basel I to more risk-sensitive and granular capital requirements of Basel II enabled a bottom-up exposure level risk assessment through internal estimates of the probability of default (PD), the loss given default (LGD) and the exposure at default (EAD). This internal ratings-based (IRB) approaches allows banks to compute capital charges for each exposure and subsequently roll up to various aggregated levels. The risk associated with business cycle

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