Basel Banking Model
Overview
The
Basel Framework
is an internationally agreed to framework for regulating bank risk. As part of the framework, multiple different
methods of measuring the amount of capital that a bank needs to hold in order to cover credit risk were developed.
Vasicek Model
The Advanced IRB Basel model is based on the
Vasicek Model
(also known as the latent variable model)
which can be used to create a custom credit economic capital model.
Basel Capital Scripts
The
Basel Scripts
provides scripts for the various formulas in the advanced IRB framework.
For a copy of the full desktop: