Under the new Basel bank capital framework, a bank must group its retail exposures into multiple segments with homogeneous risk characteristics. The U.S. regulatory agencies believe that a bank may use the internal models, including the loan-level risk parameter estimates such as PD and LGD, to...

Under the new Basel bank capital framework, each bank must group its retail exposures into multiple segments with homogeneous risk characteristics. The U.S. regulatory agencies believe that each bank may use its internal risk models for the loan-level risk parameter estimates such as probability...