The Criticism of Basel II Based on Credit Risk Modelling

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

The Criticism of Basel II Based on Credit Risk Modelling

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

The Criticism of Basel II Based on Credit Risk Modelling

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

8

Strana od-do

721-728

Název nakladatele

SGEM

Místo vydání

Sofia

Místo konání akce

Albena

Datum konání akce

3. 9. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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