The Criticism of Basel II Based on Credit Risk Modelling
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F14%3A39898937" target="_blank" >RIV/00216275:25410/14:39898937 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.5593/SGEMSOCIAL2014/B22/S6.091" target="_blank" >http://dx.doi.org/10.5593/SGEMSOCIAL2014/B22/S6.091</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.5593/SGEMSOCIAL2014/B22/S6.091" target="_blank" >10.5593/SGEMSOCIAL2014/B22/S6.091</a>
Alternative languages
Result language
angličtina
Original language name
The Criticism of Basel II Based on Credit Risk Modelling
Original language description
The aim of the paper is to critically evaluate the regulatory principles of Basel II, based on credit risk modelling. The paper is based on the definition of credit risk, default and necessary literature research dealing with the topic. The Internal Rating-Based (IRB) approach for calculating the capital requirement to cover losses from credit risk is evaluated. Within this calculation it deals with the right choice of parameters of probability of default and loss given default for the calculation of risk-weighted assets and following setting of the capital requirement to cover credit risk. The definition of default was, in the calculation based on the model data, gradually tightening so that even claims whose loss given default equal to 0 % was identified as the default. It is evident from the calculations that the bank can control (to some degree), by using an appropriate choice of the definition of default, the amount of risk weight and the subsequent amount of capital requirement.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
SGEM Conference on Political Sciences, Law, Finance, Economics and Tourism, Conference proceedings, Volume II, "Finance"
ISBN
978-619-7105-26-1
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
721-728
Publisher name
SGEM
Place of publication
Sofia
Event location
Albena
Event date
Sep 3, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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