Balthazar From Basel 1 to Basel 3

The Integration of State of the Art Risk Modelling in Banking Regulation
1. Auflage 2006
ISBN: 978-0-230-50117-1
Verlag: Palgrave Macmillan UK
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 294 Seiten, eBook

Reihe: Finance and Capital Markets Series

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.

Zielgruppe

Research

Autoren/Hrsg.

Balthazar, L.

Inhaltsverzeichnis

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

Über Autor(innen)

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.