Asymptotic Single Risk Factor Model Capital
The ASRF model takes as input the risk characteristics of a portfolio of credit sensitive instruments and computes the necessary capital using an asymptotic single risk factor model. For each instrument, the capital is defined as the loss in excess of the expected loss (EL) at a high confidence level.
|Asymptotic Single Risk Factor (ASRF) capital
- Calculating Regulatory Capital with the ASRF Model
This example shows how to calculate capital requirements and value-at-risk (VaR) for a credit sensitive portfolio of exposures using the asymptotic single risk factor (ASRF) model.