Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macroeconomy
نویسندگان
چکیده
منابع مشابه
Retail Credit Risk Modeling and the Basel Capital Accord
On December 14, 2001, the Payment Cards Center of the Federal Reserve Bank of Philadelphia held a workshop exploring retail credit risk modeling practices and evolving techniques. The workshop was led by Paul Calem, a senior economist at the Board of Governors, Division of Research and Statistics. Calem is currently involved in the Board's efforts supporting reforms to the international Basel C...
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We construct a new credit spread index, employing an extensive micro-level data set of secondary market prices of outstanding senior unsecured bonds over the 1973– 2009 period. Compared with the standard default-risk indicators such as the Baa-Aaa corporate bond spread and the paper-bill spread, our credit spread index is a robust predictor of future economic activity across a variety of econom...
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The main objective of this paper is to introduce the methodology for the recognition of collateral for retail lending which is Basel II complaint. Basel II for the retail segment offers two possible approaches: the standardized approach and the Internal Ratings-Based (IRB) Approach. The standardized approach is relatively easy to apply and defines standard risk weights, whereas the IRB approach...
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Even in the simple Vasicek one-factor credit portfolio model, the exact contributions to credit value-at-risk cannot be calculated without Monte-Carlo simulation. As this may require a lot of computational time, there is a need for approximate analytical formulae. In this note, we develop formulae according to two different approaches: the granularity adjustment approach initiated by M. Gordy a...
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Even in the simple Vasicek credit portfolio model, the exact contributions to credit value-at-risk cannot be calculated without Monte-Carlo simulation. As this may require a lot of computational time, there is a need for approximative analytical formulae. In this note, we develop formulae according to two different approaches: the granularity adjustment approach initiated by M. Gordy and T. Wil...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.488542