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Management of credit risk in view of Basel II

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  • IULIA IUGA

Abstract

The Basel Committee proposes to permit banks a choice between two broad methodologies for calculating their capital requirements for credit risk. One alternative will be to measure credit risk in a standardised manner, supported by external credit assessments. The alternative methodology, which is subject to the explicit approval of the bank's supervisor, would allow banks to use their internal rating systems for credit risk.

Suggested Citation

  • Iulia Iuga, 2006. "Management of credit risk in view of Basel II," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 3(8), pages 1-9.
    • Handle: RePEc:alu:journl:v:3:y:2006:i:8:p:9
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    File URL: http://oeconomica.uab.ro/upload/lucrari/820063/09.pdf
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    Keywords

    credit risk; rating systems;

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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