Basel II Implementation: A Guide to Developing and Validating a Compliant, Internal Risk Rating System

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McGraw Hill Professional, Jul 31, 2008 - Business & Economics - 480 pages
  • Basel II is a global regulation, and financial institutions must prove minimum compliance by 2008
  • The authors are highly sought-after speakers and among the world’s most recognized authorities on Basel II implementation
  • Accompanying CD-ROM includes spreadsheet templates that will assist corporations as they implement Basel II
 

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Contents

Chapter 1 Risk Ratings System Design
1
Chapter 2 Risk Ratings System Quantification
65
Chapter 3 Validation of Internal Risk Rating System
183
Chapter 4 Pillar II Challenges and Dealing with Procyclicality
281
Notes
305
Index
319
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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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