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The New Basel Accord and Credit Risk Management

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  • Ram Pratap Sinha

Abstract

The paper discusses in brief the implications Basel II regarding assessment of credit risk in the commercial banking sector under both the standardized approach and the foundation and advanced Internal Rating Based Approach. The paper also provides a brief review of some of the popular credit risk models and discusses the important issues relating to the integration of portfolio credit risk models with the risk bucket rule of BCBS (Basel Committee on Banking Supervision). Finally, the paper provides a brief overview of the RBI initiatives regarding migration to Basel II in the Indian context.

Suggested Citation

  • Ram Pratap Sinha, 2010. "The New Basel Accord and Credit Risk Management," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 35(3), pages 337-356, August.
  • Handle: RePEc:sae:manlab:v:35:y:2010:i:3:p:337-356
    DOI: 10.1177/0258042X1003500302
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    References listed on IDEAS

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    1. 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.
    2. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
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