Economic Capital Allocation with Basel II (eBook)
448 Seiten
Elsevier Science (Verlag)
978-0-08-047256-0 (ISBN)
The book provides:
* comprehensive coverage of the evolution of the banking industry with Basel II in mind
* extensive information on the capital requirements for bank liquidity and solvency
* coverage of the new rules as laid down by the supervisory authorities of the Group of Ten industrialized nations
* key information on the technical requirements for credit institutions such as: new credit rating scales, modeling of credit risk, control of operational risks, and, novel ways and means for the management of exposure to Credit Risk
* Basel II accords must be implemented by 2006 and require 2 years preparation for proper implementation
* Author at the forefront in the development of the Basel II Capital Adequacy Accord
* Based on intensive research in the US, UK and continental Europe
This book is a complimentary follow-on book to Operational Risk Control with Basel II. While the previous book focuses on operational risk, Economic Capital Allocation provides an overview of credit risk within the context of the Basel II accords.The book provides:* comprehensive coverage of the evolution of the banking industry with Basel II in mind* extensive information on the capital requirements for bank liquidity and solvency * coverage of the new rules as laid down by the supervisory authorities of the Group of Ten industrialized nations* key information on the technical requirements for credit institutions such as: new credit rating scales, modeling of credit risk, control of operational risks, and, novel ways and means for the management of exposure to Credit Risk* Basel II accords must be implemented by 2006 and require 2 years preparation for proper implementation* Author at the forefront in the development of the Basel II Capital Adequacy Accord * Based on intensive research in the US, UK and continental Europe
Economic Capital Allocation with Basel II 2
Contents 6
Foreword 12
Preface 14
Warning: Basel II, the October 11, 2003, Announcement and its Aftermath 18
Abbreviations 28
Part 1: Commercial Banks and the New Regulation 32
Chapter 1: Basel II, Impact Studies and Cost of Implementation 34
Chapter 2: Benefits from Risk-Based Pricing and Rating Targets 62
Chapter 3: Regulatory Capital Defined 92
Chapter 4: Market Discipline and its Global Impact 115
Part 2: The Allocation of Economic Capital to Business Units 136
Chapter 5: Economic Capital Defined 138
Chapter 6: Economic Capital and Solvency Management 158
Chapter 7: Economic Capital Allocation: Practical Applications and Theoretical Background 180
Chapter 8: Evolving Rules and Procedures for Economic Capital Allocation 204
Chapter 9: Strategies Used by Banks to Increase their Capital Base 226
Part 3: Defaults, Internal Ratings and Technological Solutions 244
Chapter 10: Default Defined 246
Chapter 11: IRB, Technological Infrastructure, Models and Correlations 268
Chapter 12: Internal Ratings, Supervisory Weights and Collateral 294
Chapter 13: Software Which Can Help in IRB Implementation 321
Chapter 14: How to be in Charge of IRB 345
Part 4: Regulatory and Political Issues Tend to be Indivisible 368
Chapter 15: Supervisory Authorities and their Regulatory Policies 370
Chapter 16: Contrarians to Basel II, CAD 3 and 2010 Challenges 392
Appendix: the Basel Committee on Banking Supervision and Basel II 418
Acknowledgments 420
Index 434
| Erscheint lt. Verlag | 9.2.2004 |
|---|---|
| Sprache | englisch |
| Themenwelt | Sachbuch/Ratgeber |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| Wirtschaft ► Betriebswirtschaft / Management ► Logistik / Produktion | |
| Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre | |
| Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management | |
| Wirtschaft ► Volkswirtschaftslehre | |
| ISBN-10 | 0-08-047256-7 / 0080472567 |
| ISBN-13 | 978-0-08-047256-0 / 9780080472560 |
| Haben Sie eine Frage zum Produkt? |
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