From Basel 1 to Basel 3: The Integration of State of the Art Risk Modelling in Banking Regulation

by L. Balthazar

Overview

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.

Product Details

ISBN-13:	9781403948885
Publisher:	Palgrave Macmillan UK
Publication date:	08/31/2006
Series:	Finance and Capital Markets Series
Edition description:	2006
Pages:	256
Product dimensions:	5.98(w) x 9.02(h) x 0.04(d)

About the Author

Laurent Balthazar is a Bank Credit Analyst at Dexia Bank.

Table of Contents

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