Credit risk catches up

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To calculate minimum regulatory capital for credit risk, many banks have long argued that they should be allowed to use their own internal models, as they already do for market risk and, prospectively, will be able to do for operational risk. The market risk extension of Basel I has been very successful and allows regulators to insist on continuous improvement in banks’ market risk measurement and monitoring techniques. Furthermore, under the advanced measurement approach (AMA), banks will be

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