The Margin of Conservatism (MoC) in the IRB approach: defining and measuring the general estimation error
Since the Basel 2 Accord, the Regulators have raised the issue of errors arising in the internal model estimation process, calling for margins of conservatism to cover possible underestimation in capital. However, this issue has been dealt with just a few general statements into to the primary regul...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIFIRM
2019-04-01
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| Series: | Risk Management Magazine |
| Subjects: | |
| Online Access: | https://www.aifirm.it/wp-content/uploads/2021/04/RMM-2019-01-Excerpt-3.pdf |