Basel II Implementation, Chapter 1 - Risk Ratings System Design

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McGraw Hill Professional, Jul 10, 2008 - Business & Economics - 64 pages
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This is a sample chapter from Basel II Implementation, 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.
 

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Contents

Overview
1
The Use of Credit Risk Assessment Templates in IRRS
2
The Use of Quantitative Models in IRRS
6
The Use of Hybrid Models in IRRS
10
The Use of Retail Models in IRRS
14
The Use of LGD Models in IRRS
16
The Choice of LGD Discount Rate
19
Discount Rate for Workout Recoveries An Empirical Study
21
Conclusions
63
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About the author (2008)

Bogie Ozdemir is Director of Standard & Poor's Risk Solution, a Financial Risk Manager with GARP, and a certified Risk Manager.

Peter Miu is Standard & Poor's Consultant for Canadian and Korean Basel II Implementation.

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