Basel II Implementation: A Guide to Developing and Validating a Compliant, Internal Risk Rating System
Title | Basel II Implementation: A Guide to Developing and Validating a Compliant, Internal Risk Rating System PDF eBook |
Author | Bogie Ozdemir |
Publisher | McGraw Hill Professional |
Pages | 355 |
Release | 2008-07-31 |
Genre | Business & Economics |
ISBN | 0071591311 |
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
Basel II Implementation, Chapter 3 - Validation of Internal Risk Rating System
Title | Basel II Implementation, Chapter 3 - Validation of Internal Risk Rating System PDF eBook |
Author | Bogie Ozdemir |
Publisher | McGraw Hill Professional |
Pages | 104 |
Release | 2008-07-10 |
Genre | Business & Economics |
ISBN | 0071731776 |
This is a sample chapter from Basel II Implementation, an invaluable guide that puts a potent combination of theory and real-world practice at your fingertips. Written by two of the most globally recognized and sought-after thought leaders in Basel II implementation, this how-to book maps out, step-by-step, implementable solutions that are both academically credible and practical, making them defendable to regulators and executable within the constraints of data, resources, and time.
International Convergence of Capital Measurement and Capital Standards
Title | International Convergence of Capital Measurement and Capital Standards PDF eBook |
Author | |
Publisher | Lulu.com |
Pages | 294 |
Release | 2004 |
Genre | Bank capital |
ISBN | 9291316695 |
The Basel II Risk Parameters
Title | The Basel II Risk Parameters PDF eBook |
Author | Bernd Engelmann |
Publisher | Springer Science & Business Media |
Pages | 432 |
Release | 2011-03-31 |
Genre | Business & Economics |
ISBN | 3642161146 |
The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on the other to compute regulatory capital according to the new Basel rules. This book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.
The Basel Ii "Use Test" - a Retail Credit Approach
Title | The Basel Ii "Use Test" - a Retail Credit Approach PDF eBook |
Author | Stephen D. Morris |
Publisher | Author House |
Pages | 252 |
Release | 2008-08-05 |
Genre | Self-Help |
ISBN | 1467839558 |
The essence of this text is the application of The Basel II Framework Use Test. I will illustrate the facets of Use Test adherence with risk management tools and strategies that complement a banks pursuit of Advanced Internal Ratings Based Approach, Basel II Framework compliance. I will simultaneously pay close attention to the specific Basel II Framework, Use Test adherence measures. This book offers the practitioner a useful prescription for ensuring that their bank covers the necessary bases when pursuing its Basel II Framework implementation. It additionally puts into proper context where banks should be concerned in their pursuit of the Use Test, with specific attention to regulator, boards and executives concerns that the bank continues to operate with sound fiscal behaviour. The very foundation of a banks lending practices is the credit cycle. This book identifies both the traditional model and the newly minted Basel II model of the credit cycle. It also demonstrates practices that create sustainable business processes which optimize the risk-reward drivers of a retail banking environment. It focuses on the different operational areas of the bank and the role each plays within the Basel II credit cycle. Finally, it provides a foundation for which the credit practices present in Marketing, Underwriting, Account Management, Portfolio Management, Recoveries and Collections and Regulatory Capital setting can be justly applied. Banks must make use of The Basel II Framework estimation tools, thus confirming that they are predictive, accurate and reliable in the estimation of regulatory capital as well as in the day-to-day running of the bank. In spite of the prescriptive nature of The Basel II Framework model estimates this book will illustrate how to exploit their elemental design into profitable pursuits. While one fundamental challenge relating to Basel II Framework adherence is incorporating these tools into the Credit Cycle, another focuses on enhancing and improving existing credit practices found within the banks organizational structure in light of traditional banking shareholder drivers. This book thus simplifies this directive.
The Basel Handbook
Title | The Basel Handbook PDF eBook |
Author | Michael K. Ong |
Publisher | |
Pages | 710 |
Release | 2007 |
Genre | Asset-liability management |
ISBN |
Comprehensively researched, this volume assists and advises the financial practitioner of every possible consequence of the latest Basel Accord - including advice on the implementation of systems affected by the Accord's various regulations.
Basel II Implementation, Chapter 2 - Risk Ratings System Quantification
Title | Basel II Implementation, Chapter 2 - Risk Ratings System Quantification PDF eBook |
Author | Bogie Ozdemir |
Publisher | McGraw Hill Professional |
Pages | 125 |
Release | 2008-07-10 |
Genre | Business & Economics |
ISBN | 0071731768 |
This is a sample chapter from Basel II Implementation, an invaluable guide that puts a potent combination of theory and real-world practice at your fingertips. Written by two of the most globally recognized and sought-after thought leaders in Basel II implementation, this how-to book maps out, step-by-step, implementable solutions that are both academically credible and practical, making them defendable to regulators and executable within the constraints of data, resources, and time.