Journal of Statistical and Econometric Methods

Rating models Impact on the Regulatory Capital for Corporate Exposure

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  •                                                     Abstract

    Being stimulated by the Basel II Capital Accord, banks adopting the internal rating-base approach (IRBA), have began developing more and more their own internal rating as long as the systems meet specified minimum requirements. In this context, the purpose of this paper is to provide an overview of statistical methods to develop Rating model commonly used in practice as well as analyzing the relationship between the number of classes in the master scale and the impact on regularity capital for Corporate Exposure.