The Basel Handbook
First published:
ISBN: 9781904339557
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Basel II Capital Adequacy Rules for Retail Exposures
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
INTRODUCTION
The overall loan portfolio of most financial institutions consists of loans to individual consumers as well as to businesses. The former is generally referred to as retail and the latter as wholesale. In the US, the relative sizes of retail and commercial portfolios of financial institutions are of the same order of magnitude. Each transaction to a consumer is typically small in size compared with the size of the portfolio of similar transactions. Naturally, retail lending is typically managed as portfolios and not transaction by transaction. Also, it is typical to have marketing, origination, servicing and business units organised by product categories. In the US, the most common product categories are mortgages, home equity, credit cards, automobile lending, marine (boat) lending and student loans. While all best practice banks have managed the risk in their retail portfolios by product category and by customer score and other segmentation for many years, the capital-adequacy rules under Basel I distinguished only between mortgages and all other retail product categories.
The first consultative paper issued in 1999 at the very beginning of the Basel II process did
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