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the asymptotix of the basel accords
Tue, 23 Oct 2012 02:37:29 GMT
The important point I suppose is that BIS sets the rules but the conceptual views of the distinctions of UL and EL and r.cap and e.cap will differ amongst the users of those rules (the banks being reulated) as they do amongst the BIS committee members and their economists.
The asymptotic Basel II Tier One Capital formula
The Basel II Capital Accord seeks to improve on the existing rules by aligning regulatory capital requirements more closely to the underlying risks that banks face. One of the risk types described in the Capital Accord is credit risk. Banks need to hold capital to cover the credit risk on their credit portfolio.
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