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 industry

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here