garp16-p2-25
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GARP.FRM.PQ.P2 Credit VaR - About diversification in IRB approach~
Hi, Mr. Harper, refer to the notes book 3 of IRB approach, I am so confused about the meaning of portfolio invariant, does it mean that IRB approach is not considering correlation between assets in the loan portfolio of bank and therefore no diversification effect is benefit within in the loan...- no_ming
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- basel garp16-p2-25 irb
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- Forum: P2.T7. Basel II & Regulatory