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Formula For Calculating Co-Relation Factor For Corporate Sub Exposures (Doc ID 2590734.1)

Last updated on SEPTEMBER 25, 2019

Applies to:

Oracle Financial Services Basel Regulatory Capital Internal Ratings Based Approach - Version 8.0.0 and later
Information in this document applies to any platform.

Symptoms

As per BIS Guideline (December 2010), Formula to calculate the Correlation for Corporate Sub Exposures is as below. But BP0122-Correlation for Corporate Sub Exposures calculating with a different formula which is incorrect.

0.12 * (1- EXP(-50*[MSR - CRM PD]))/(1-EXP(-50)) + 0.24 * (1 - (1- EXP(-50*[MSR - CRM PD]))/(1-EXP(-50))).

Changes

 

Cause

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In this Document
Symptoms
Changes
Cause
Solution
References


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