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| Author: | Balthazar, L. |
| Title: | PD estimates for Basel II |
| Journal: | Risk
2004 : APR, VOL. 17:4, p. 84-85 |
| Index terms: | banking credit management defaults probability risk risk management |
| Language: | eng |
| Abstract: | This article discusses the Basel II document and its impact on banksÂ’ credit portfolios. According to Basel II, banks will have to prove that the long-run average probabilities of default, assigned to their clients and which will be used as a basis for regulatory capital requirements, are correct. The writer aims to develop a framework derived from Basel II to be used as a basis of discussion between banks and regulators. |
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