The Basel Handbook
First published:
ISBN: 9781904339557
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Assessing the Validity of Basel II Models in Measuring Risk of Credit Portfolios
Leonid V Philosophov
Development and Validation of Key Estimates for Capital Models
Explaining the Correlation in Basel II: Derivation and Evaluation
Explaining the Credit Risk Elements in Basel II
Loss Given Default and Recovery Risk: From Basel II Standards to Effective Risk Management Tools
Assessing the Validity of Basel II Models in Measuring Risk of Credit Portfolios
Measuring Counterparty Credit Risk for Trading Products under Basel II
Implementation of an IRB-Compliant Rating System
Stress Tests of Banks’ Regulatory Capital Adequacy: Application to Tier 1 Capital and to Pillar 2 Stress Tests
Advanced Credit Model Performance Testing to Meet Basel Requirements: How Things Have Changed!
Designing and Implementing a Basel II Compliant PIT–TTC Ratings Framework
Basel II in the Light of Moody’s KMV Evidence
Basel II Capital Adequacy Rules for Retail Exposures
IRB-Compliant Models in Retail Banking
Basel II Capital Adequacy Rules for Securitisations
Regulatory Priorities and Expectations in the Implementation of the IRB Approach
Market Discipline and Appropriate Disclosure in Basel II
Validation of Banks’ Internal Rating Systems – A Supervisory Perspective
Rebalancing the Three Pillars of Basel II
Implementing a Basel II Scenario-Based AMA for Operational Risk
Loss Distribution Approach in Practice
An Operational Risk Rating Model Approach to Better Measurement and Management of Operational Risk
Constructing an Operational Event Database
Insurance and Operational Risk
In June 2004, the Basel Committee on Banking Supervision (BCBS) published the document entitled “International Convergence of Capital Measurement and Capital Standards”, also known as the New Basel Capital Accord or Basel II. The document establishes the new framework for the assessment of bank capital adequacy with strong emphasis on improving banks’ capabilities to assess and manage risks. Basel II will be implemented in OECD countries by the end of 2006 and, its most complex parts by the end of 2007.
A key element of Basel II consists of calculating a bank’s risk-weighted assets, which depend on probabilistic assessment of marginal losses that the bank can bear due to market, credit and operational risks.
Principal attention of Basel II is focused on credit risk. The proposed methodologies are the standardised approach, based on external credit ratings of borrowers, and the internal ratings-based (IRB) approach with both its foundation and advanced versions. Both versions suppose preliminary determination of four key inputs to the model, which estimates required capital and risk-weighted assets. Those inputs are: probability of borrower’s default within one year (PD); loss
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