Basel Credit Risk Models and Economic Capital

The CMOL software applies Basel III/IV and Basel III/IV requirements and definitions on regulatory capital. For instance, Economic Capital is defined as Value at Risk (i.e., the Total Risk Amount) less any Expected Losses. There are 4 categories of equations based on the type of credit and loans: 3 types of Retail Loans plus a category for Corporate Loans.

 

 

 

 

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