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Newsletter Oct 2006: Credit portfolio models fit for Basel capital framework

Staff | February 23, 2007

NEW YORK – A credit model study that suggests regulators should consider an internal models-based approach to the calculation of regulatory capital, similar to VAR models used to measure market risk, has been published by two international trade associations. VAR refers to “value at risk,” and is a mathematical model widely used by banks, investment firms and other traders to track the market risk in their portfolios.

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