Credit Risk: Regulatory and Economic Capital (Solved Example)
Posted On:
1. Context
In this solved example taken from FRM Part 1 curriculum, we explore why equity capital is required as a buffer against credit losses and we estimate the capital required both from regulatory perspective (i.e. regulatory capital) and internal perspective (i.e. economic capital). This video is included in the FRM Part 1 preparation course. The details of the reading in which this topic appears are given below:
| Area | Valuation and Risk Models |
| Reading | Measuring Credit Risk |
| Reference | Chapter 6. Measuring Credit Risk In GARP Official Books (FRM Part I, VRM section) (GARP, 2020). |