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Keywords: Asymptotic single risk factor (ASRF) model
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Journal Articles
Assessing the Basel II internal ratings-based approach: Empirical evidence from Australia
Available to Purchase
Journal of Financial Regulation and Compliance (2016) 24 (2): 106–139.
Published: 09 May 2016
..., financial statistics and external credit ratings. The IRB approach to capital adequacy for credit risk, which implements an asymptotic single risk factor (ASRF) model, plays an important role in protecting the Australian banking sector against insolvency. Design/methodology/approach Realisations...
