IDEAS home Printed from https://ideas.repec.org/a/agr/journl/v9%28504%29y2006i9%28504%29p55-60.html
   My bibliography  Save this article

Validation Techniques of the Intern Models for Credit Risk

Author

Listed:
  • Nicolae Dardac
  • Bogdan Moinescu

    (Academy of Economic Studies, Bucharest)

Abstract

The new own funds adequacy device, officialy named “ International Convergence of Capital Measurement and Capital Standards”, describes the most important benchmark framework for micro-prudential supervision at the moment. The publication of the final text in June 2004, after five years of deliberations, represents the result of multiple analyses and comments provided by all interested parties, banking supervision authorities, associations and credit institutions. Provided the development of complex methodologies of risk measurement and management, on a large scale, by credit institutions, simple and static rules of the first accord have become less and less relevant during the last years. And so, the need of setting up a own funds adequacy framework which is much more risk sensitive and provides incentives to credit institutions on what concerns the improvement of risk measurement and management systems was met by approval of the Basel II Accord, which will, therefore, lead to the strengthening of financial stability. The revisal of the Accord was mainly focused on the increase of risk analysis and internal measurement and the changes made to their estimation allow banks to create their own methodological framework to calculate capital requirements (also considering each credit institution’ risk appetite).

Suggested Citation

  • Nicolae Dardac & Bogdan Moinescu, 2006. "Validation Techniques of the Intern Models for Credit Risk," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 9(9(504)), pages 55-60, November.
  • Handle: RePEc:agr:journl:v:9(504):y:2006:i:9(504):p:55-60
    as

    Download full text from publisher

    File URL: http://store.ectap.ro/articole/155.pdf
    Download Restriction: no

    File URL: http://www.ectap.ro/articol.php?id=155&rid=9
    Download Restriction: no

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:9(504):y:2006:i:9(504):p:55-60. See general 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: (Marin Dinu). General contact details of provider: http://edirc.repec.org/data/agerrea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.