The Management Of Credit Risk According To Internal Ratings- Based Approach
The internal ratings based approach (IRB Approach) was created as part of Basel II replacing the original Basle Accord of 1988 (Basle I) in an effort to create a better framework for regulating bank capital. This paper covers the methodology and components of the IRB Approach used to determine capital requirements for credit risk. Such an approach, which relies heavily upon a bank's internal assessment of its counterparties and exposures, can secure two key objectives consistent with those which support the wider review of The New Basel Capital Accord.. IRB approach should promote safety and soundness in the financial system and, consistent with providing incentive compatibility, that the structure and requirements of the IRB approach do not impinge upon or undermine banks' well-established lending and credit risk management practices
Volume (Year): 1 (2010)
Issue (Month): 2 (December)
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- Ojo, Marianne, 2008.
"Risk management by the Basel Committee: evaluating progress made from the 1988 Basel Accord to recent developments,"
26365, University Library of Munich, Germany, revised Nov 2010.
- Marianne Ojo, 2010. "Risk management by the Basel Committee: Evaluating progress made from the 1988 Basel Accord to recent developments," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 18(4), pages 305-315, November.
- Ojo, Marianne, 2008. "Risk Management by the Basel Committee: Evaluating Progress made from the 1988 Basel Accord to Recent Developments," MPRA Paper 10051, University Library of Munich, Germany.
- Kim, Joocheol & Kim, KiHyung, 2006. "Loss Given Default Modelling under the Asymptotic Single Risk Factor Assumption," MPRA Paper 860, University Library of Munich, Germany.
- Ojo, Marianne, 2009. "The responsive approach by the Basel Committee (on Banking Supervision) to regulation: Meta risk regulation, the Internal Ratings Based Approaches and the Advanced Measurement Approaches," MPRA Paper 16752, University Library of Munich, Germany.
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