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In this article, we relax the assumption of a fully granular portfolio underpinning the Basel II risk weights for credit risk in determining capital requirements. To do so, we model losses under an adverse scenario that stems from both the systematic and idiosyncratic components. The generalization requires the use of a numerically derived distribution function via simulation. Unlike previous work, our method is sufficiently flexible to accommodate a fattailed distribution in the idiosyncratic component. The idiosyncratic component is pertinent for a non-granular portfolio.

A Conditional Probability of Default Under The Influence of Both Systematic And Idiosyncratic Components