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
Veröffentl:
2006
Erscheinungsdatum:
31.08.2006
Seiten:
294
Autor:
L. Balthazar
Gewicht:
608 g
Format:
241x163x22 mm
Sprache:
Englisch
Beschreibung:
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.
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
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