Nguyen, Van Phuong (2019): An attempt to derive the Risk Weight Function for the bank.
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Abstract
According to the Basel Accord II, one of the key factors in the Internal-Ratings Based (IRB) framework is the Risk Weight Function (RWF). Indeed, it uses four risk components including PD, LGD, EAD, and M as input to yield the capital requirement and thereby Risk-Weighted Asset (RWA). Given the extremely important role of the Risk Weight Function, in this project, we aim to derive it mathematically.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | An attempt to derive the Risk Weight Function for the bank |
| English Title: | An attempt to derive the Risk Weight Function for the bank |
| Language: | English |
| Keywords: | Basel Accord II, Homogenous Loan Portfolio, Loss Distribution, Expected Loss, Unexpected Loss, Capital Requirement, Risk-Weight Functions. |
| Subjects: | G - Financial Economics > G0 - General > G00 - General G - Financial Economics > G1 - General Financial Markets > G10 - General G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages |
| Item ID: | 100631 |
| Depositing User: | Mr Phuong Nguyen Van |
| Date Deposited: | 29 May 2020 14:03 |
| Last Modified: | 29 May 2020 14:03 |
| References: | BCBS (2004). International Convergence of Capital Measurement and Capital Standards: A Revised Framework. Bank for International Settlements Papers. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/100631 |
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