AAA-A: rho=0.24; BBB: rho=0.20; BB-B: rho=0.15; CCC+: rho=0.12
| source | Basel II IRB single-factor model |
| derivation | published_source |
| quality | published |
| regulatory frameworks | Basel II IRB |
| set | 2026-05-25 |
| last reviewed | 2026-05-25 |
| next review due | 2026-06-30 |
Inverse-rating correlation pattern; used in portfolio credit VaR + capital.