Internal Ratings, the Business Cycle and Capital Requirments: Some Evidence from an Emerging Market EconomyBank for International Settlements, Monetary and Economic Department, 2002 - Bank capital - 21 pages |
Common terms and phrases
Advanced IRB approach assessment asset average risk weight Bank runs bank's banking system Basel Capital Accord Basel Committee Basel II BCBS boom Borio business cycle calculated ex calculating regulatory capital capital charge changes in risk charge for expected correlations credit risk model cyclical dataset December default frequencies default probabilities default rates depressed economic E-rated loans economic cycle effect emerging market economies European Central Bank expected losses external financial stability financial system Foundation IRB approach Furfine Graph group-wide transition matrix imbalances increase in capital internal ratings systems Internal Ratings-Based approach January 2001 proposals level of capital loan migration loan portfolio macroeconomic maturity adjustments measured risk Mexican Mexico minimum monetary November 2001 proposals one-year PD paper particularly probability of default procyclicality rating grades regulatory authorities regulatory capital ratios regulatory capital requirements required capital risk measurement risk-based capital requirements riskiness sample period Standard & Poor's Standardised approach systematic risk transition matrices