バーゼルⅡ施行ガイド Basel II Implementation : A Guide to Developing and Validating a Compliant, Internal Risk Rating System （HAR/CDR）

バーゼルⅡ施行ガイド<br>Basel II Implementation : A Guide to Developing and Validating a Compliant, Internal Risk Rating System （HAR/CDR）

バーゼルⅡ施行ガイド
Basel II Implementation : A Guide to Developing and Validating a Compliant, Internal Risk Rating System （HAR/CDR）

Ozdemir, Bogie/ Miu, Peter/ Sanders (COR)

McGraw-Hill（2008/09発売）

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製本 Hardcover:ハードカバー版／ページ数 333 p.
言語 ENG
商品コード 9780071591300
DDC分類 332

基本説明

Supplies both the theory and pracdtical how-to knowledge to implement the Basel II a global regulation which financial institutions must prove minimum compliance by 2008.

Full Description

Many financial institutions around the world must prove minimum compliance to the Basel II Accord by 2015. For several banks, implementing internal risk rating systems (IRRS) is simply Basel II compliance. However, when carried out with a proper focus on bottom-line growth, this regulation has been shown to enhance a bank's risk-management practices and competitiveness in the market. Basel II Implementation is an invaluable guide that puts a potent combination of theory and real-world practice at your fingertips.Written by two of the most globally recognized and sought-after thought leaders in Basel II implementation, this how-to book maps out, step-by-step, implementable solutions that are both academically credible and practical, making them defendable to regulators and executable within the constraints of data, resources, and time. Organized to sequentially follow IRRS development under Basel II, each section of this go-to guide provides:An introduction to the Basel II conceptA variety of techniques for reaching compliance, based on research conducted by the authors and supported by Standard & Poor'sCorporate case examples that illustrate implementation in the real worldTo complement the holistic approach in Basel II Implementation, which offers end-to-end analysis of various credit risk problems, an accompanying CD-ROM features a wealth of useful spreadsheet templates that will facilitate the efficient and accurate execution of covered techniques.Stay ahead of the curve with the expert strategies and advice found in Basel II Implementation.

IntroductionChapter 1 Risk Ratings System DesignOverviewThe Use of Credit Risk Assessment Templates in IRRSThe Use of Quantitative Models in IRRSThe Use of Hybrid Models in IRRSThe Use of Retail Models in IRRSThe Use of LGD Models in IRRSThe Choice of LGD Discount RateDiscount Rate for Workout Recoveries: An Empirical StudyConclusionsChapter 2 Risk Ratings System QuantificationOverviewRisk Rating PhilosophyLong-run PDDownturn LGDDownturn EADDownturn LGD: A Case StudyEstablishing a Master ScaleStress TestingEAD EstimationChapter 3 Validation of Internal Risk Rating SystemOverviewConfirmation of the Conceptual Soundness and Initial Risk Quantification of the Design of the IRRSConfirmation of Risk Rating System OperationsAnnual Examination of the Overall Performance of the Risk Rating SystemValidation of Mappings between Internal and External Risk Rating SystemsAnnual Health CheckGovernanceConclusionsChapter 4 Pillar II, Challenges, and Dealing with ProcyclicalityIntroductionBackground DefinitionsSome Pillar II Implementation IssuesCapital Planning and Capital Adequacy Assessment Framework with Respect to Pillar IIConclusionsNotesIndexAbout the AuthorsNER(01): WOW