Explains the mathematics and intuition behind the Basel Correlation formula, which is used in the capital requirements or RWA calculation for the Corporate asset class under the Internal Rating Based (IRB) approach. You can view this as our take on the very popular Basel publication: "An Explanatory Note on the Basel II IRB Risk Weight Functions", which you can access here:
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Explains the mathematics and intuition behind the Basel Correlation formula, which is used in the capital requirements or RWA calculation for the Corporate asset class under the Internal Rating Based (IRB) approach. You can view this as our take on the very popular Basel publication: "An Explanatory Note on the Basel II IRB Risk Weight Functions", which you can access here: 
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