2010 Basel readings

[uiterdijk]

Dear David,

in your 2009 FRM tutorial 7.d you highly recommended the BIS-reading: "An Explanatory Note on the Basel II IRB Risk Weight Functions". It is not included anymore in 2010 readings - as far as I have seen. However would you still recommend it for the preparation of the 2010 Level 2-exam?

Kind regards, Marc

 

[David Harper CFA FRM]

Hi Marc,

Yes, I absolutely and heartily recommend this relatively brief (~20 pages) primer on the IRB function: it is the most concise explanation that I know of (most Basel readings are long and tedious) on the logic that leads to the copula-like IRB formula itself. I see they omitted this reading but its contents remain relevant; e.g., I'd argue some/many of the AIMS under the assigned "Studies on credit risk concentration...." are better covered under the Explanatory note. Hope that helps...David

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