Browsing by Subject "Measures of conservatism"

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A critical review of the Basel margin of conservatism requirement in a retail credit context

De Jongh, Riaan; Verster, Tanja; Reynolds, Elzabe; Raubenheimer, Helgard; Joubert, Morne (Clute Institute, 2017)

The Basel II accord (2006) includes guidelines to financial institutions for the estimation of regulatory capital (RC) for retail credit risk. Under the advanced Internal Ratings Based (IRB) approach, the formula suggested ...