(IRB) Approach. It can be considered as a conceptually new approach to capital rules, since the IRB risk weight function is …, that is not given. We argue, that if it is the committees aim to provide risk-sensitive capital rules, together with some …

variables in credit risk management. By using PD estimates as input to pricing and capital requirement calculations, one should … PD confidence interval into a risk-weight confidence interval by applying the Basel II IRB approach. The two main …