A Critical Assessment Of Basel Ii Internal Rating Based Approach
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A Critical Assessment Of Basel Ii Internal Rating Based Approach
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Author : Vahit Ferhan Benli
language : en
Publisher: Haupt Verlag AG
Release Date : 2010
A Critical Assessment Of Basel Ii Internal Rating Based Approach written by Vahit Ferhan Benli and has been published by Haupt Verlag AG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Bank capital categories.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
Revisiting Risk Weighted Assets
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Author : Vanessa Le Leslé
language : en
Publisher: International Monetary Fund
Release Date : 2012-03-01
Revisiting Risk Weighted Assets written by Vanessa Le Leslé and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-01 with Business & Economics categories.
In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Banking On Basel
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Author : Daniel Tarullo
language : en
Publisher: Columbia University Press
Release Date : 2008-11-30
Banking On Basel written by Daniel Tarullo and has been published by Columbia University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-11-30 with Business & Economics categories.
The turmoil in financial markets that resulted from the 2007 subprime mortgage crisis in the United States indicates the need to dramatically transform regulation and supervision of financial institutions. Would these institutions have been sounder if the 2004 Revised Framework on International Convergence of Capital Measurement and Capital Standards (Basel II accord)—negotiated between 1999 and 2004—had already been fully implemented? Basel II represents a dramatic change in capital regulation of large banks in the countries represented on the Basel Committee on Banking Supervision: Its internal ratings–based approaches to capital regulation will allow large banks to use their own credit risk models to set minimum capital requirements. The Basel Committee itself implicitly acknowledged in spring 2008 that the revised framework would not have been adequate to contain the risks exposed by the subprime crisis and needed strengthening. This crisis has highlighted two more basic questions about Basel II: One, is the method of capital regulation incorporated in the revised framework fundamentally misguided? Two, even if the basic Basel II approach has promise as a paradigm for domestic regulation, is the effort at extensive international harmonization of capital rules and supervisory practice useful and appropriate? This book provides the answers. It evaluates Basel II as a bank regulatory paradigm and as an international arrangement, considers some possible alternatives, and recommends significant changes in the arrangement.
Activist Vs Passivist Hedge Funds
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Author : Ivan Kühne
language : en
Publisher: Haupt Verlag AG
Release Date : 2011
Activist Vs Passivist Hedge Funds written by Ivan Kühne and has been published by Haupt Verlag AG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Hedge funds categories.
Basel Ii Implementation A Guide To Developing And Validating A Compliant Internal Risk Rating System
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Author : Bogie Ozdemir
language : en
Publisher: McGraw Hill Professional
Release Date : 2008-07-31
Basel Ii Implementation A Guide To Developing And Validating A Compliant Internal Risk Rating System written by Bogie Ozdemir and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-07-31 with Business & Economics categories.
Basel II is a global regulation, and financial institutions must prove minimum compliance by 2008 The authors are highly sought-after speakers and among the world’s most recognized authorities on Basel II implementation Accompanying CD-ROM includes spreadsheet templates that will assist corporations as they implement Basel II
Introduction To Structured Finance
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2006-10-20
Introduction To Structured Finance written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-10-20 with Business & Economics categories.
Created by the experienced author team of Frank Fabozzi, Henry Davis, and Moorad Choudhry, Introduction to Structured Finance examines the essential elements of this discipline. It is a convenient reference guide—which covers all the important transaction types in one place—and an excellent opportunity to enhance your understanding of finance.
Rating Based Modeling Of Credit Risk
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Author : Stefan Trueck
language : en
Publisher: Academic Press
Release Date : 2009-01-15
Rating Based Modeling Of Credit Risk written by Stefan Trueck and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-01-15 with Business & Economics categories.
In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing. It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In Rating Based Modeling of Credit Risk the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling. Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book The book is based on in-depth work by Trueck and Rachev
Risk Based Supervision Of Pension Funds A Review Of Internation Experience And Preliminary Assessment Of The First Outcomes
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Author :
language : en
Publisher: World Bank Publications
Release Date :
Risk Based Supervision Of Pension Funds A Review Of Internation Experience And Preliminary Assessment Of The First Outcomes written by and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Developing Validating And Using Internal Ratings
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Author : Giacomo De Laurentis
language : en
Publisher: John Wiley & Sons
Release Date : 2011-06-20
Developing Validating And Using Internal Ratings written by Giacomo De Laurentis and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-20 with Mathematics categories.
This book provides a thorough analysis of internal rating systems. Two case studies are devoted to building and validating statistical-based models for borrowers’ ratings, using SPSS-PASW and SAS statistical packages. Mainstream approaches to building and validating models for assigning counterpart ratings to small and medium enterprises are discussed, together with their implications on lending strategy. Key Features: Presents an accessible framework for bank managers, students and quantitative analysts, combining strategic issues, management needs, regulatory requirements and statistical bases. Discusses available methodologies to build, validate and use internal rate models. Demonstrates how to use statistical packages for building statistical-based credit rating systems. Evaluates sources of model risks and strategic risks when using statistical-based rating systems in lending. This book will prove to be of great value to bank managers, credit and loan officers, quantitative analysts and advanced students on credit risk management courses.