Why Should You Attend:
The rationale of the IRB formula, explained par. 272 of the Basel II original text formula, which gives the capital requirement as a function of the credit risk, is misunderstood by many a user. Let alone what happens for counterparties with low probabilities of defaults, when the function exhibits badly-behaved features. Whether quantitatively inclined or not, it is a good practice to try to understand why and where such a critical approach can be used, together with its limitations.
This webinar will explain the rationale and the limitations of the Internal Ratings-Based (IRB) risk-weight formula.
Areas Covered in the Webinar:
Who Will Benefit:
Fred Vacelet, MBA, FRM/PRM, CTM, IFQ, is an international financial risk management consultant with an expertise in risk management methodological frameworks. His experience spans around 25 years, advising banks and software houses on risk management. Mr. Vacelet holds various degrees, including a business degree from London Business School, England, with post-graduate studies at the Technische (then West)-Berlin, Germany and Keio (Japan) universities. He is a published author on risk management and Basel Accords, and a regular speaker at conferences. He writes and presents training courses and workshops on risk management and Basel II/III.
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