The Basel II IRB approach for credit portfolios: A survey

Aas, Kjersti

October 01, 2005

NR

• Areas: Finance, insurance and power market
• Keywords: Basel II advanced IRB approach, credit portfolio risk, default probability, loss given default, asset correlations
• Page(s): 30
• Name and number of project: Finansmarked
• Title: The Basel II IRB approach for credit portfolios: A survey
• Author(s): Aas, Kjersti
• Report number: SAMBA/33/05
• Published date: October 01, 2005