ASRF: Difference between revisions
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imported>Doug Williamson (Create the page. Source: BIS http://www.bis.org/bcbs/irbriskweight.pdf) |
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Revision as of 14:03, 21 August 2016
Capital adequacy - credit risk.
Aysmptotic Single Risk Factor.
An approach to determining capital requirements for banks and other financial institutions, in relation to credit risk.
In the ASRF model, all systematic (or system-wide) risks, that affect all borrowers to a determinable degree, like industry or regional risks, are modelled with only one (the 'single') systematic risk factor.
