Credit Risk under Basel II Framework

- Definition of credit risk
- Basel II regulatory reporting approaches;
- The Standardized Approach (SA)
- The Internal Rating Based Approach (IRBA);
- The foundation internal ratings based approach (FIRB)
- The advanced internal ratings based approach (AIRB)
- Key credit risk attributes used in derivation of RWA
- EAD, PD, LGD, RW & Maturity
- Class exercise
- Group project on development of IRB RWA calculator for credit risk