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Economic Capital Allocation with Basel II

Author

Listed:
  • Chorafas, Dimitris N.

    (CORPORATE CONSULTANT IN ENGINEERING AND MANAGEMENT, PARIS VISITING PROFESSOR, INFORMATION SCIENCE AND BUSINESS ADMINISTRATION, WASHINGTON STATE UNIVERSITY)

Abstract

This book is a complimentary follow-on book to Operational Risk Control with Basel II. While the previous book focuses on operational risk, Economic Capital Allocation provides an overview of credit risk within the context of the Basel II accords. The book provides: * comprehensive coverage of the evolution of the banking industry with Basel II in mind * extensive information on the capital requirements for bank liquidity and solvency * coverage of the new rules as laid down by the supervisory authorities of the Group of Ten industrialized nations * key information on the technical requirements for credit institutions such as: new credit rating scales, modeling of credit risk, control of operational risks, and, novel ways and means for the management of exposure to Credit Risk * Basel II accords must be implemented by 2006 and require 2 years preparation for proper implementation * Author at the forefront in the development of the Basel II Capital Adequacy Accord * Based on intensive research in the US, UK and continental Europe

Suggested Citation

  • Chorafas, Dimitris N., 2004. "Economic Capital Allocation with Basel II," Elsevier Monographs, Elsevier, edition 1, number 9780750661829.
    • Handle: RePEc:eee:monogr:9780750661829
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    Cited by:

    1. Sanjiv Das, 2007. "Basel II: Correlation Related Issues," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 17-38, October.
    2. Walter S. A. Schwaiger, 2007. "Controlling risikobasierter Erfolge in Universalbanken," Schmalenbach Journal of Business Research, Springer, vol. 59(57), pages 211-234, January.

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