Basel II and default risk: An empirical analysis
AbstractThe New Accord on Capital, known as Basel II, has induced a progressive harmonization of evaluation processes on credit risk merit in Italy. The present work analyzes the effect of Basel II on the basis of the definition of default that will come into effect at the end of the transition period. The analysis is based on a representative sample of a retail portfolio of one major Italian bank and distinguishes Northern, Central and Southern Italy. The findings highlight that under the new definition of default risk, estimates of portfolio riskiness are higher (mainly due to the different repayment schedule that are customary in Italy), but the impact of new estimates on capital requirements are limited. Additionally, the need to calibrate credit risk models on the basis of territorial diversity emerges.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Società editrice il Mulino in its journal Banca Impresa Società.
Volume (Year): (2009)
Issue (Month): 2 ()
Contact details of provider:
Basel II; credit risk; retail portfolios; SME;
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.