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

From Basel 1 to Basel 3: The Integration of State of the Art Risk Modelling in Banking Regulation: Finance and Capital Markets Series

Autor L. Balthazar
en Limba Engleză Hardback – 31 aug 2006
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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Specificații

ISBN-13: 9781403948885
ISBN-10: 1403948887
Pagini: 294
Ilustrații: XIX, 294 p.
Dimensiuni: 152 x 229 x 22 mm
Greutate: 0.61 kg
Ediția:2006
Editura: Palgrave Macmillan UK
Colecția Palgrave Macmillan
Seria Finance and Capital Markets Series

Locul publicării:London, United Kingdom

Cuprins

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

Notă biografică

LAURENT BALTHAZAR is Head of Economic & Regulatory Capital at Dexia Bank. He has been responsible for the development of scoring models and of the RAROC methodology. He is also involved in the implementation of the Basel 2 project and of the economic capital framework. He is a frequent speaker at conferences and delivered trainings on Basel 2 in Eastern Europe countries.