Basel II revised default correlation values reflect industry experience, says Fitch

In a recent teleconference conducted to discuss the Basel II credit risk framework, Kim Olson, Fitch's director for policy and regulatory liaison, said the change by the Basel Committee to fix the correlation across all probability of default (PD) levels at 4% reflected a correlation estimate of the experience in the industry. Before the revision, the Basel Committee had set the credit card correlation at an 11% peak for high-quality borrowers and 2% for low-quality borrowers, which the indu