Basel II Implementation, Chapter 1 - Risk Ratings System Design
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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The Use of Hybrid Models in IRRS
The Use of Retail Models in IRRS
The Use of LGD Models in IRRS
The Choice of LGD Discount Rate
Discount Rate for Workout Recoveries An Empirical Study
advanced IRB agency ratings assets assign PD banks Basel Basel II calibrated collateral confidence interval consider continuous PD Credit Risk creditors data set default event defaulted debts defaulted instruments discount rate economic LGD Equation estimate of risk estimated risk premium expected recovery financial ratios higher risk premium historical default rates industry industry-specific stress period instru instrument type instruments defaulted internal ratings investors LGD models LGD risk loans LossStats Database market prices marketwide stress period obligors PD assigned PD/EDF point estimate Poor’s rating Premium in Percent quantitative model rating agencies realized excess return realized recovery recovery cash flows recovery risk recovery uncertainty recovery values regression analysis reported in Table required risk premium risk rating risk-free interest rate risk-free rate risk-free yield robust scores senior subordinated bonds senior unsecured bonds significantly higher Standard & Poor’s Standard Deviation statistically significant subsegment templates trading price ultimate recovery workout recoveries