Following Basel II, four individual measures are mentioned by the bank in the course of the rating process, namely – identification: assigning the customer to a rating class, – measurement: each rating class is assigned a probability of default, – calculation: the probability of default must be offset against a risk-adjusted interest rate (risk-adjusted pricing), – the values obtained finally form the basis for managing the loan portfolio or for portfolio management. – See Capital Adequacy Directive, Mark-to-Model Approach, Risk, Operational. – Cf. Deutsche Bundesbank Monthly Report of January 2009, p. 65 (Methodology of rating models).
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