This is Argyn's blog. I comment on topics of my interests such as software, math, finance, and music. Also, I write about local events in Northern Virginia, USA and all things related to Kazakhstan

Wednesday, October 18, 2006

Basel II IRB notes

These are the docs referred from Treasury's Basel II implementation doc.

An Explanatory Note on the Basel II IRB Risk Weight Functions - supposed to be less technical than other docs.

A Risk-Factor Model Foundation for
Ratings-Based Bank Capital Rules by Michael B. Gordy

A comparative anatomy of credit risk models
Michael B. Gordy

A Generalized Framework for Credit Risk Portfolio Models

by H. Ugur Koyluoglu of Oliver, Wyman & Company, and
Andrew Hickman of CSFP Capital, Inc.
- supposed to be the vey important paper, which explains the basel ii framwork's risk models

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