Rating models Impact on the Regulatory Capital for Corporate Exposure

摘要

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