From Basel 1 to Basel 3: The Integration of State of the Art Risk Modelling in Banking Regulation
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From Basel 1 to Basel 3: The Integration of State of the Art Risk Modelling in Banking Regulation

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ISBN-13:
9781403948885
Einband:
Buch
Erscheinungsdatum:
01.08.2006
Seiten:
294
Autor:
L. Balthazar
Gewicht:
608 g
Format:
241x163x22 mm
Serie:
Finance and Capital Markets
Sprache:
Englisch
Beschreibung:

Discussion of present banking regulation and weaknesses
Introduction PART 1: CURRENT BANKING REGULATION Basel 1 Market Risk Amendment Critics of Basel 1 PART 2: DESCRIPTION OF BASEL 2 Overview of the New Accord Pillar 1 - The solvency ratio Pillar 1 - Appendix Pillar 2 - Supervisory Review Process Pillar 3 - Market Discipline Potential Impacts of Basel 2 PART 3: IMPLEMENTING BASEL 2 Basel 2 and IT Systems Scoring Systems - Theoretical Aspects Scoring Systems - Case study LGD Implementation of the Accord PART 4: PILLAR 2, AN OPEN ROAD TO BASEL 3 From Basel 1 to Basel 3 The Basel 2 Model Extending the Model Integrating other Kinds of Risks Conclusions
The proposed rules are presented and key issues regarding implementation of the accord identified. The model used to calibrate the capital requirements under Basel 2 is analyzed and projected forward to present what could be key new elements in the future Basel 3 regulation. A CD-ROM is included to illustrate regulator models.

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