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Validation of low-default portfolios in the Basel II Framework

Type
Publication
Series
Sound practices
Date Published
01 September 2005
Status
Current
Sources
BCBS
Topics
Credit risk

The purpose of this Newsletter is to set forth the views of the Basel Committee Accord Implementation Group's Validation Subgroup (AIGV) regarding the appropriate treatment in the internal ratings-based (IRB) approaches in the Basel II Framework of portfolios where banks may have limited loss data. This Newsletter was developed in response to industry questions and concerns regarding such portfolios.


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