basel Credit

[kgolf20]

Hi David


aside from knowing the broad themes of the standardized credit basel lookup tables for risk weights, we are not expected to know what the risk weights should be for various claims and ratings, right?

Thanks

Kyle

 

[David Harper CFA FRM]

Hi Kyle,

I think that is true (i.e., that's the inference I draw from the little GARP has said about Basel II for 2008), but I can't say with certainty (as historically this question has been asked; e.g., what is charge for a $10 MM AA corporate exposure?). I would at least retain a few shortcuts; e.g., here are three rules that would cover most questions: highly rated tends to be 20%, lowly rateds are all 150%, and unrateds tend to be (perversely) 100%. That's *might* be all you need. But again, I have no specific knowledge of what will be tested and GARP inexplicably forgot the Basel AIMs this year.

(Good luck!)

David