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Le traitement du risque de crédit dans l’Accord de Bâle II : une évaluation

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  • Jean-Marc Figuet

Abstract

[eng] Credit risk and the new Basel capital accord . The new Basel capital accord implies a redefinition of prudential regulation, especially for credit risk. In this article, we show that Cooke ratio is unable to appreciate correctly credit risk profile of banking portfolio. By contrast, the future credit risk measure appears more reliable. In particular, IRB approach is a way to improve banks' credit risk perception and evolution. Convergence between economic capital and regulatory capital can be obtained. Nevertheless, IRB approach is deficient. So, prudential regulation efficiency, banking system and economic stability are questioned. . JEL classifications : D82, C2, C28, L51 [fre] L'accord de Bâle II prévoit une évolution significative de la réglementation prudentielle. Cet article traite l'un des aspects de cette évolution : le traitement du risque de crédit. Nous montrons que la mesure actuelle du risque de crédit, le ratio Cooke, est inadéquate pour refléter le profil de risque du portefeuille bancaire de crédit. En revanche, la future mesure du risque de crédit apparaît plus efficace. En particulier, l'utilisation de modèles de risque de crédit fondés sur les notations internes (modèles IRB) permet de retracer plus fidèlement l'évolution du risque de contrepartie. D'où une convergence entre le capital économique et le capital réglementaire des établissements de crédit. Néanmoins, nous montrons que l'approche IRB présente un certain nombre de défauts qui peuvent affecter l'efficacité de la réglementation prudentielle, et ce faisant la résilience au choc du système bancaire, voire de l'économie dans son ensemble. . Classification JEL : D82, G2, G28, L51

Suggested Citation

  • Jean-Marc Figuet, 2003. "Le traitement du risque de crédit dans l’Accord de Bâle II : une évaluation," Revue d'Économie Financière, Programme National Persée, vol. 71(2), pages 277-293.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2003_num_71_2_4863
    DOI: 10.3406/ecofi.2003.4863
    Note: DOI:10.3406/ecofi.2003.4863
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • L51 - Industrial Organization - - Regulation and Industrial Policy - - - Economics of Regulation
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G2 - Financial Economics - - Financial Institutions and Services
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • L51 - Industrial Organization - - Regulation and Industrial Policy - - - Economics of Regulation

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