Showing 1 - 2 of 2
As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective is to create monthly or quarterly TPMs with predefined...
Persistent link: https://www.econbiz.de/10008835350
Persistent link: https://www.econbiz.de/10010508091