question about risk weights in IRB basel framework

humayunali · June 9th, 2007, 7:35 am

I have developed a framework for IRB. I have determined cluster groups and have assigned PD to each group. However as soon as PD of a group reaches 50% correlation stops increasing and as a result capital requirement starts declining. Can anyone help me what should do to reduce the problem

humayunali · June 13th, 2007, 6:50 am

please someone answer

Polysena · June 13th, 2007, 9:26 am

Your question is not clear in my view thus no answer