Weder, Beatrice (contributor); Wedow, Michael (contributor) - 2002 - [Elektronische Ressource]
risk weight, PD the probability of default, N(x)
denotes the cumulative standard normal distribution function and G …(x) denotes the
inverse cumulative standard normal distribution function. Risk weights are then obtained
by applying:
RW = min … existing literature has mostly used corporate default
rates published by Moody’s Investor Service (Moody’s) or Standard and …