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All Blog Posts Tagged 'PD buckets' (1)

Optimization Heuristics for Determining Internal Rating Grading Scales

by M. Lyra, J. Paha, S. Paterlini, P. Winker

CEFIN – Centro Studi di Banca e Finanza

Dipartimento di Economia Aziendale – Università di Modena e Reggio Emilia



Abstract



Basel II imposes regulatory capital on banks related to the de-fault risk of their credit portfolio. Banks using an internal rating approach compute the regulatory capital from pooled probabilities of default. These pooled probabilities can be calculated by clustering credit borrowers into… Continue

Added by John A Morrison on April 17, 2009 at 10:30am — No Comments

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