Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?
نویسندگان
چکیده
منابع مشابه
Basel Ii Implementation – Retail Credit Risk Mitigation
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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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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Existing literature has focused attention on the impact of Basle I and similar capital requirement regulations on developed countries where such regulations were found to be effective in increasing capital ratios and reducing portfolio credit risk of commercial banks. In the present study, we study the impact of such capital requirement regulations on commercial banks in 11 developing countries...
متن کاملCredit Risk, Credit Crunch and Capital Structure
A firm partially financed by debt is considered. The firm is subject to two types of shocks: macro-shocks modeled as a finite state Markov chain, and idiosyncratic shocks. The dynamics of the latter may depend on the state of the macroeconomy; the state of the economy is determined not only by fundamentals but the market sentiment as well. The lenders are competitive and debt is rolled over unt...
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Recent financial crises were the root of many changes in regulatory implementations in the banking sector. Basel previously covered the default capital charge for counterparty exposures however, the crisis showed that more than two third of the losses related to this risk emerged from the exposure to the movement of the counterparty’s credit quality and not its actual default therefore, Basel I...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.498882