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Credit risk measurement under Basel II : an overview and implementation issues for developing countries

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Stephanou, Constantinos
Mendoza, Juan Carlos
Abstract

The objective of this paper is to provide an overview of the changes in the calculation of minimum regulatory capital requirements for credit risk that have been drafted by the Basel Committee on Banking Supervision (Basel II). Even though the revised credit capital rules represent a dramatic change compared to Basel I, it is shown that Basel II merely seeks to codify (albeit incompletely) existing good practices in bank risk measurement. However, its effective implementation in many developing countries is hindered by fundamental weaknesses in financial infrastructure that will need to be addressed as a priority.

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Paper provided by The World Bank in its series Policy Research Working Paper Series with number 3556.

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Date of creation: 01 Apr 2005
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Handle: RePEc:wbk:wbrwps:3556

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Keywords: Banks&Banking Reform Banking Law Insurance&Risk Mitigation Financial Intermediation Economic Theory&Research

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    • Lipton, Michael & Ravallion, Martin, 1995. "Poverty and policy," Handbook of Development Economics, in: Hollis Chenery† & T.N. Srinivasan (ed.), Handbook of Development Economics, edition 1, volume 3, chapter 41, pages 2551-2657 Elsevier. [Downloadable!] (restricted)
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  11. Paul Mosley & John Hudson & Arjan Verschoor, 2004. "Aid, Poverty Reduction and the 'New Conditionality'," Economic Journal, Royal Economic Society, vol. 114(496), pages F217-F243, 06. [Downloadable!] (restricted)
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  1. Alicia García-Herrero & Sergio Gavilá, 2006. "Posible impacto de Basilea II en los países emergentes," Banco de España Occasional Papers 0606, Banco de España. [Downloadable!]
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