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Az új bázeli tőkeszabályozás és a belső minősítésen alapuló megközelítés
[The new Basel regulations and an approach based on internal rating]

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  • Szabó-Morvai, Ágnes

Abstract

A tanulmány a Bázeli Bankfelügyeleti Bizottság legújabb ajánlásának módszertani hátterével foglalkozik. Először röviden bemutatja a szabályozás alapjául szolgáló CreditMetrics modellt, illetve annak egyszerűbb változatát. Ebből a rendszerből ve zeti le a belső minősítésen alapuló, IRB modell központi képletét, és bemutatja, hogy milyen feltételezésekkel élt a Bizottság a szabályozás megalkotásakor. Végül röviden érinti, hogyan kezeli a modell a portfólióelemek közti korrelációt, illetve hogyan vál tozik az elemzés kis cégek esetében.* Journal of Economics Literature (JEL) kód: G180.

Suggested Citation

  • Szabó-Morvai, Ágnes, 2003. "Az új bázeli tőkeszabályozás és a belső minősítésen alapuló megközelítés [The new Basel regulations and an approach based on internal rating]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 881-890.
    • Handle: RePEc:ksa:szemle:641
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    References listed on IDEAS

    as
    1. Lopez, Jose A., 2004. "The empirical relationship between average asset correlation, firm probability of default, and asset size," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 265-283, April.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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