Basel IRB Asset Correlation Formula for Corporate and Institutions

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Explains the mathematics and intuition behind the Basel Correlation formula, which is used in the capital requirements or RWA calculation for the Corporate asset class under the Internal Rating Based (IRB) approach. You can view this as our take on the very popular Basel publication: "An Explanatory Note on the Basel II IRB Risk Weight Functions", which you can access here:

  1. quantpie
  2. Basel IRB Asset Correlation Formula
  3. Internal Rating Based approach
  4. Asset Correlation
  5. Exponential Interpolation
  6. Basel Correlation 0.12 and 0.24
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Комментарии
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Feeling so lucky to have discovered this channel and quantpie website....

imad_uddin
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Very well explained! Basic insight is how to convert a linear equation into exponential one and how to parameterize the function. I wish Basel Committee itself had published background papers outlining how they reached these formulas for better and easier understanding of bankers.

surendrabarsode
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Thank you for the video ! Very helpful.

ruiliang
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Hello i think that there is some missing videos (4 videos are private ) in the playlist could we have access to the full list please . and thanks a bunch for the work that you are doing

ghaithmhamdi
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Hi - thanks for your video it is great and very clear!

Can I ask a quick question, the PD parameter in the function, is that at the portfolio level or at the counterparty level?

isaamhanif
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Could you please point me to the video on the quantile formula?

paolotardini