Basel II Implementation - A Guide to Developing and Validating a Compliant, Internal Risk Ratin

Informationen zum Autor Bogie Ozdemir is a Vice President in Standard & Poor's Risk Solutions. He has worked in different areas of risk management for more than ten years, most recently as a senior director in the Risk Analytics group of the Bank of Montreal. He has published numerous articles in The Journal of Credit Risk. Peter Miu is an Associate Professor of Finance and teaches financial institutions at DeGroote School of Business, McMaster University (Canada). He is also a consultant to Standard & Poor's Risk Solutions, where he advises financial institutions and financial regulators globally on the implementation of Basel II. Klappentext Many financial institutions around the world must prove minimum compliance to the Basel II Accord by 2015. For several banks, implementing internal risk rating systems (IRRS) is simply Basel II compliance. However, when carried out with a proper focus on bottom-line growth, this regulation has been shown to enhance a bank's risk-management practices and competitiveness in the market. Basel II Implementation is 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. Organized to sequentially follow IRRS development under Basel II, each section of this go-to guide provides: An introduction to the Basel II conceptA variety of techniques for reaching compliance, based on research conducted by the authors and supported by Standard & Poor'sCorporate case examples that illustrate implementation in the real world To complement the holistic approach in Basel II Implementation , which offers end-to-end analysis of various credit risk problems, an accompanying CD-ROM features a wealth of useful spreadsheet templates that will facilitate the efficient and accurate execution of covered techniques. Stay ahead of the curve with the expert strategies and advice found in Basel II Implementation. Inhaltsverzeichnis Introduction Chapter 1 Risk Ratings System Design Overview The Use of Credit Risk Assessment Templates in IRRS The Use of Quantitative Models in IRRS 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 Conclusions Chapter 2 Risk Ratings System Quantification Overview Risk Rating Philosophy Long-run PD Downturn LGD Downturn EAD Downturn LGD: A Case Study Establishing a Master Scale Stress Testing EAD Estimation Chapter 3 Validation of Internal Risk Rating System Overview Confirmation of the Conceptual Soundness and Initial Risk Quantification of the Design of the IRRS Confirmation of Risk Rating System Operations Annual Examination of the Overall Performance of the Risk Rating System Validation of Mappings between Internal and External Risk Rating Systems Annual Health Check Governance Conclusions Chapter 4 Pillar II, Challenges, and Dealing with Procyclicality Introduction Background Definitions Some Pillar II Implementation Issues Capital Planning and Capital Adequacy Assessment Framework with Respect to Pillar II Conclusions Notes Index About the Authors...

Info autore

Bogie Ozdemir is a Vice President in Standard & Poor's Risk Solutions. He has worked in different areas of risk management for more than ten years, most recently as a senior director in the Risk Analytics group of the Bank of Montreal. He has published numerous articles in The Journal of Credit Risk.
Peter Miu is an Associate Professor of Finance and teaches financial institutions at DeGroote School of Business, McMaster University (Canada). He is also a consultant to Standard & Poor's Risk Solutions, where he advises financial institutions and financial regulators globally on the implementation of Basel II.

Dettagli sul prodotto

• Autori: Peter Miu, Miu Peter, Bogie Ozdemir, Ozdemir Bogie
• Editore: McGraw Hill Trade
• Lingue: Inglese
• Formato: Copertina rigida
• Pubblicazione: 11.11.2008
• EAN: 9780071591300
• ISBN: 978-0-07-159130-0
• Dimensioni: 195 mm x 245 mm x 25 mm
• Categorie: Guide e manuali > Diritto, professione, finanze; Scienze sociali, diritto, economia > Economia; Bank, Bankwesen, Kredit, Kreditwesen