From Basel 1 to Basel 3

The Integration of State of the Art Risk Modelling in Banking Regulation

L. Balthazar (Autor)

Buch | Hardcover

294 Seiten

2006
Palgrave Macmillan (Verlag)
978-1-4039-4888-5 (ISBN)

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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.

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.

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

Erscheint lt. Verlag	31.8.2006
Reihe/Serie	Finance and Capital Markets Series
Zusatzinfo	XIX, 294 p.
Verlagsort	Gordonsville
Sprache	englisch
Maße	152 x 229 mm
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
	Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie
ISBN-10	1-4039-4888-7 / 1403948887
ISBN-13	978-1-4039-4888-5 / 9781403948885
Zustand	Neuware