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Az új bázeli tőkeszabályozás és a belső minősítésen alapuló megközelítés
[The new Basel regulations and an approach based on internal rating]

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  • Szabó-Morvai, Ágnes

Abstract

A tanulmány a Bázeli Bankfelügyeleti Bizottság legújabb ajánlásának módszertani hátterével foglalkozik. Először röviden bemutatja a szabályozás alapjául szolgáló CreditMetrics modellt, illetve annak egyszerűbb változatát. Ebből a rendszerből ve zeti le a belső minősítésen alapuló, IRB modell központi képletét, és bemutatja, hogy milyen feltételezésekkel élt a Bizottság a szabályozás megalkotásakor. Végül röviden érinti, hogyan kezeli a modell a portfólióelemek közti korrelációt, illetve hogyan vál tozik az elemzés kis cégek esetében.* Journal of Economics Literature (JEL) kód: G180.

Suggested Citation

  • Szabó-Morvai, Ágnes, 2003. "Az új bázeli tőkeszabályozás és a belső minősítésen alapuló megközelítés [The new Basel regulations and an approach based on internal rating]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 881-890.
    • Handle: RePEc:ksa:szemle:641
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    References listed on IDEAS

    as
    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    3. Lopez, Jose A., 2004. "The empirical relationship between average asset correlation, firm probability of default, and asset size," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 265-283, April.
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    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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