From Basel 1 to Basel 3: the integration of state-of-the-art risk modeling in banking regulation
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Basingstoke [u.a.]
Palgrave Macmillan
2006
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Finance and capital markets
|
| Schlagworte: | |
| Online-Zugang: | Contributor biographical information Publisher description Table of contents only Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XIX, 294 S. graf. Darst. |
| ISBN: | 9781403948885 1403948887 |
Internformat
MARC
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| 100 | 1 | |a Balthazar, Laurent |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a From Basel 1 to Basel 3 |b the integration of state-of-the-art risk modeling in banking regulation |c Laurent Balthazar |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Basingstoke [u.a.] |b Palgrave Macmillan |c 2006 | |
| 300 | |a XIX, 294 S. |e graf. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Finance and capital markets | |
| 500 | |a Includes bibliographical references and index | ||
| 610 | 2 | 7 | |a Basel Committee on Banking Supervision |t Basler Eigenkapitalvereinbarung |0 (DE-588)4443301-3 |2 gnd |9 rswk-swf |
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| 650 | 4 | |a Bank | |
| 650 | 4 | |a Recht | |
| 650 | 4 | |a Asset-liability management |x Law and legislation | |
| 650 | 4 | |a Banks and banking |x Accounting |x Law and legislation | |
| 650 | 4 | |a Banks and banking, International |x Law and legislation | |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditrisiko |0 (DE-588)4114309-7 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
| _version_ | 1804136235034214400 |
|---|---|
| adam_text | Contents
List of Figures, Tables, and Boxes ix
Acknowledgments xiv
List of Abbreviations xv
Website xix
Introduction 7
Part I Current Banking Regulation
7 Basel 1 5
Banking regulations and bank failures: a historical survey 5
The Basel 1988 Capital Accord 16
2 The Regulation of Market Risk: The 7996 Amendment 23
Introduction 23
The historical context 24
Amendment to the Capital Accord to incorporate
market risk 27
3 Critics of Basel 1 32
Positive impacts 32
Regulatory weaknesses and capital arbitrage 33
Part II Description of Basel 2
4 Overview of the New Accord 39
Introduction 39
Goals of the Accord 39
Open issues 40
Scope of application 41
CONTENTS
Treatment of participations 42
Structure of the Accord 44
The timetable 47
Summary 47
5 Pillar 1: The Solvency Ratio 49
Introduction 49
Credit risk unstructured exposures standardized
approach 50
Credit risk unstructured exposures IRB approaches 58
Credit risk: securitization 63
Operational risk 73
Appendix: Pillar 1 treatment of double default and
trading activities 76
6 Pillar 2: The Supervisory Review Process 89
Introduction 89
Pillar 2: the supervisory review process in action 90
Industry misgivings 93
7 Pillar 3: Market Discipline 95
Introduction 95
Pillar 3 disclosures 95
Links with accounting disclosures 96
Conclusions 99
8 The Potential Impact of Basel 2 101
Introduction 101
Results of QIS 3 101
Comments 104
Conclusions 105
Part III Implementing Basel 2
9 Basel 2 and Information Technology Systems 109
Introduction 109
Systems architecture 109
Conclusions 112
10 Scoring Systems: Theoretical Aspects 114
Introduction 114
The Basel 2 requirements 115
Current practices in the banking sector 117
Overview of historical research 119
CONTENTS
The data 123
How many models to construct? 126
Modelization steps 127
Principles for ratio selection 130
The logistic regression 133
Performance measures 136
Point in time versus through the cycle ratings 142
Conclusions 144
11 Scoring Systems: Case Study 145
Introduction 145
The data 145
Candidate explanatory variables 148
Sample selection 154
Univariate analysis 155
Model construction 171
Model validation 175
Model calibration 178
Qualitative assessment 179
Conclusions 181
Appendix 1: hypothesis Test for PD estimates 182
Appendix 2: comments on low default portfolios 187
12 Loss Given Default 188
Introduction 188
LGD measures 188
Definition of workout LGD 189
Practical computation of workout LGD 190
Public studies 194
Stressed LGD 198
Conclusions 199
13 Implementation of the Accord 200
Introduction 200
Internal ratings systems 201
The quantification process 201
The data management system 202
Oversight and control mechanisms 203
Conclusions 204
Part IV Pillar 2: An Open Road to Basel 3
14 From Basel 1 to Basel 3 209
Introduction 209
History 209
CONTENTS
Pillar 2 211
Basel 3 211
Conclusions 212
75 The Basel 2 Model 214
Introduction 214
A portfolio approach 214
The Merton model 217
The Basel 2 formula 219
Conclusions 235
16 Extending the Model 237
Introduction 237
The effect of concentration 237
Extending the Basel 2 framework 238
Conclusions 247
17 Integrating Other Kinds of Risk 248
Introduction 248
Identifying material risks 248
Quantification and aggregation 276
Typical capital composition 279
Conclusions 280
Conclusions 283
Overview of the book 283
The future 284
Bibliography 286
Index 291
List of Figures, Tables,
and Boxes
FIGURES
2.1 DJIA: yearly trading volume 24
3.1 Securitization with recourse 34
3.2 Remote origination securitization 35
4.1 Scope of application for a fictional banking group 42
4.2 Treatment of participations in financial companies 43
4.3 Treatment of participations in insurance companies 43
4.4 Treatment of participations in commercial companies 44
4.5 The three pillars 45
4.6 Solvency ratio 45
5.1 Capital using the SF 71
5.2 Capital rate using the SF 71
5.3 RWA for securitization and corporate exposures 73
5A.1 EE and EPE 77
5A.2 EPE, EE, and PFE 78
5A.3 EE, EPE, and effective EE and EPE 79
9.1 Incremental IT architecture 111
9.2 Integrated IT architecture 112
10.1 Current bank practices: rating systems 118
10.2 A decision tree 121
10.3 A neural network 121
10.4 A CAP curve 140
LIST OF FIGURES, TABLES, AND BOXES
10.5 A ROC curve 141
11.1 Rating distribution 146
11.2 Frequency of total assets 151
11.3 Frequency of LN(Assets) 152
11.4 ROA:rating dataset 156
11.5 ROA:default dataset 156
11.6 ROA before exceptional items and taxes:rating dataset 157
11.7 ROA before exceptional items and taxes:default dataset 157
11.8 ROE:rating dataset 157
11.9 ROE:default dataset 158
11.10 EBITDA/Assets:rating dataset 158
11.11 EBITDA/Assets:default dataset 158
11.4A ROA:rating dataset 159
11.12 Cash/ST debts:rating dataset 160
11.13 Cash/ST debts:default dataset 161
11.14 Cash and ST assets/ST debts:rating dataset 161
11.15 Cash and ST assets/ST debts:default dataset 161
11.16 Equity/Assets:rating dataset 163
11.17 Equity/Assets:default dataset 163
11.18 Equity (excl. goodwill)/Assets:rating dataset 164
11.19 Equity (excl. goodwill)/Assets:default dataset 164
11.20 Equity/LT fin. debts:rating dataset 164
11.21 Equity/LT fin. debts.default dataset 165
11.22 EBIT/lnterest:rating dataset 166
11.23 EBIT/lnterest:default dataset 166
11.24 EBITDA/lnterestrating dataset 166
11.25 EBITDA/lnterestdefault dataset 167
11.26 EBITDA/ST fin. debts:rating dataset 167
11.27 EBITDA/ST fin. debts:default dataset 167
11.28 LN(Assets):rating dataset 169
11.29 LN(Assets):default dataset 169
11.30 LN(Turnover):rating dataset 170
11.31 LN(Turnover):default dataset 170
13.1 Rating model implementation 204
15.1 Simulated default rate 215
15.2 S P historical default rates, 1981 2003 216
15.3 Distribution of asset values 218
15.4 Loss distribution 223
15.5 Cumulative bivariate normal distribution 228
15.6 Asset correlation for corporate portfolios 229
15.7 Maturity effect 233
15.8 Loss distribution 234
16.1 Potential asset return of a BBB counterparty 241
1 7.1 A stylized bank economic capital split, percent 280
LIST OF FIGURES, TABLES, AND BOXES
TABLES
1.1 A definition of capital 18
1.2 Risk weight of assets 18
1.3 CCFs 19
1.4 PFE 20
4.1 The Basel 2 timetable 47
5.1 Pillar 1 options 49
5.2 RWA in the Standardized Approach 50
5.3 RWA of past due loans 52
5.4 CCF for the Standardized Approach 52
5.5 RWA for short term issues with external ratings 53
5.6 Simple and comprehensive collateral approach 54
5.7 Supervisory haircuts (ten day holding period) 55
5.8 Minimum holding period 55
5.9 Criteria for internal haircut estimates 56
5.10 Risk parameters 58
5.11 Source of risk estimations 58
5.12 RWA for Specialized Lending 60
5.13 CRM in IRBF 62
5.14 RWA for securitized exposures: Standardized Approach 66
5.15 CCF for off balance securitization exposures 67
5.16 CCF for early amortization features 68
5.17 Risk weights for securitization exposures under the RBA 69
5.18 The Standardized Approach to operational risk 74
5A.1 CCF for an underlying other than debt and forex
instruments 79
5A.2 CCF for an underlying that consists of debt instruments 80
5A.3 Swap 1 and 2 80
5A.4 CCF multiplication 81
5A.5 Application of the double default effect 84
5A.6 Capital requirements for DVP transactions 88
6.1 CEBS high level principles for pillar 2 93
7.1 Pillar 3 disclosures 97
8.1 Results of QIS 3 ford 0 banks 102
8.2 Results of QIS 3 for C10 banks: maximum and minimum
deviations 103
8.3 Results of QIS 3 for G10 banks: individual portfolio results 103
10.1 Summary of bankruptcy prediction techniques 122
10.2 Key criteria for evaluating scoring techniques 124
10.3 Bankruptcy models: main characteristics 131
10.4 Accuracy ratios 132
10.5 ROC and AR: indicative values 142
11.1 Explanatory variables 150
LIST OF FIGURES, TABLES, AND BOXES
11.2 Ratio calculation 153
11.3 Profitability ratios: performance measures 160
11.4 Liquidity ratios: performance measures 162
11.5 Leverage ratios: performance measures 165
11.6 Coverage ratios: performance measures 168
11.7 Size variables: performance measures 170
11.8 Correlation matrix: rating dataset 172
11.9 Correlation matrix: default dataset 173
11.10 Performance of the Corporate model 176
11.11 Performance of the Midcorp model 177
11.12 Typical rating sheet 180
11.13 Impact of qualitative score on the financial rating 181
12.1 LGD public studies 195
15.1 Simulated standard deviation of DR 217
15.2 Estimated default correlation 227
15.3 Implied asset correlation 228
16.1 A non granular portfolio 238
16.2 The concentration effect 238
16.3 The credit VAR test 239
16.4 An average one year migration matrix 240
16.5 Corporate spreads 243
16.6 A stylized transition matrix 244
16.7 Comparison between the Basel 2 formula and the credit
VAR MTM results 245
16.8 VAR comparison between various sector concentrations 246
17.1 Benchmarking results: credit risk 251
17.2 Benchmarking results: market risk 254
17.3 Benchmarking results: operational risk 260
17.4 Benchmarking results: strategic risk 263
17.5 Benchmarking results: reputational risk 265
17.6 Benchmarking results: business risk 268
17.7 Benchmarking results: liquidity risk 270
17.8 Benchmarking results: other risk 274
17.9 Summary of benchmarking study 276
1 7.10 Determination of the confidence interval 277
17.11 Correlation matrix: ranges 279
BOXES
1.1 A chronology of banking regulation: 1 1863 1977 6
1.2 A chronology of banking regulation: 2 1979 99 9
2.1 The regulation of market risk, 1922 98 24
5.1 Categories of RWA 51
LIST OF FIGURES, TABLES, AND BOXES
5.2 Calculating a haircut for a three year BBB bond 56
5.3 Calculating adjusted exposure for netting agreements 57
5.4 Classification of exposures 59
5.5 Calculating LGD 62
5A.1 Calculating the final exposure 80
10.1 The key requirements of Basel 2: rating systems 115
10.2 Overview of scoring models 119
10.3 Data used in bankruptcy prediction models 124
10.4 Construction of the scoring model 127
10.5 Five statistical tests 1 36
10.6 Five measures of economic performance 138
11.1 Steps in transforming ratios 151
11.2 Estimating a PD 1 78
12.1 Example of calculating workout LGD 190
|
| adam_txt |
Contents
List of Figures, Tables, and Boxes ix
Acknowledgments xiv
List of Abbreviations xv
Website xix
Introduction 7
Part I Current Banking Regulation
7 Basel 1 5
Banking regulations and bank failures: a historical survey 5
The Basel 1988 Capital Accord 16
2 The Regulation of Market Risk: The 7996 Amendment 23
Introduction 23
The historical context 24
Amendment to the Capital Accord to incorporate
market risk 27
3 Critics of Basel 1 32
Positive impacts 32
Regulatory weaknesses and capital arbitrage 33
Part II Description of Basel 2
4 Overview of the New Accord 39
Introduction 39
Goals of the Accord 39
Open issues 40
Scope of application 41
CONTENTS
Treatment of participations 42
Structure of the Accord 44
The timetable 47
Summary 47
5 Pillar 1: The Solvency Ratio 49
Introduction 49
Credit risk unstructured exposures standardized
approach 50
Credit risk unstructured exposures IRB approaches 58
Credit risk: securitization 63
Operational risk 73
Appendix: Pillar 1 treatment of double default and
trading activities 76
6 Pillar 2: The Supervisory Review Process 89
Introduction 89
Pillar 2: the supervisory review process in action 90
Industry misgivings 93
7 Pillar 3: Market Discipline 95
Introduction 95
Pillar 3 disclosures 95
Links with accounting disclosures 96
Conclusions 99
8 The Potential Impact of Basel 2 101
Introduction 101
Results of QIS 3 101
Comments 104
Conclusions 105
Part III Implementing Basel 2
9 Basel 2 and Information Technology Systems 109
Introduction 109
Systems architecture 109
Conclusions 112
10 Scoring Systems: Theoretical Aspects 114
Introduction 114
The Basel 2 requirements 115
Current practices in the banking sector 117
Overview of historical research 119
CONTENTS
The data 123
How many models to construct? 126
Modelization steps 127
Principles for ratio selection 130
The logistic regression 133
Performance measures 136
Point in time versus through the cycle ratings 142
Conclusions 144
11 Scoring Systems: Case Study 145
Introduction 145
The data 145
Candidate explanatory variables 148
Sample selection 154
Univariate analysis 155
Model construction 171
Model validation 175
Model calibration 178
Qualitative assessment 179
Conclusions 181
Appendix 1: hypothesis Test for PD estimates 182
Appendix 2: comments on low default portfolios 187
12 Loss Given Default 188
Introduction 188
LGD measures 188
Definition of workout LGD 189
Practical computation of workout LGD 190
Public studies 194
Stressed LGD 198
Conclusions 199
13 Implementation of the Accord 200
Introduction 200
Internal ratings systems 201
The quantification process 201
The data management system 202
Oversight and control mechanisms 203
Conclusions 204
Part IV Pillar 2: An Open Road to Basel 3
14 From Basel 1 to Basel 3 209
Introduction 209
History 209
CONTENTS
Pillar 2 211
Basel 3 211
Conclusions 212
75 The Basel 2 Model 214
Introduction 214
A portfolio approach 214
The Merton model 217
The Basel 2 formula 219
Conclusions 235
16 Extending the Model 237
Introduction 237
The effect of concentration 237
Extending the Basel 2 framework 238
Conclusions 247
17 Integrating Other Kinds of Risk 248
Introduction 248
Identifying material risks 248
Quantification and aggregation 276
Typical capital composition 279
Conclusions 280
Conclusions 283
Overview of the book 283
The future 284
Bibliography 286
Index 291
List of Figures, Tables,
and Boxes
FIGURES
2.1 DJIA: yearly trading volume 24
3.1 Securitization with recourse 34
3.2 Remote origination securitization 35
4.1 Scope of application for a fictional banking group 42
4.2 Treatment of participations in financial companies 43
4.3 Treatment of participations in insurance companies 43
4.4 Treatment of participations in commercial companies 44
4.5 The three pillars 45
4.6 Solvency ratio 45
5.1 Capital using the SF 71
5.2 Capital rate using the SF 71
5.3 RWA for securitization and corporate exposures 73
5A.1 EE and EPE 77
5A.2 EPE, EE, and PFE 78
5A.3 EE, EPE, and effective EE and EPE 79
9.1 Incremental IT architecture 111
9.2 Integrated IT architecture 112
10.1 Current bank practices: rating systems 118
10.2 A decision tree 121
10.3 A neural network 121
10.4 A CAP curve 140
LIST OF FIGURES, TABLES, AND BOXES
10.5 A ROC curve 141
11.1 Rating distribution 146
11.2 Frequency of total assets 151
11.3 Frequency of LN(Assets) 152
11.4 ROA:rating dataset 156
11.5 ROA:default dataset 156
11.6 ROA before exceptional items and taxes:rating dataset 157
11.7 ROA before exceptional items and taxes:default dataset 157
11.8 ROE:rating dataset 157
11.9 ROE:default dataset 158
11.10 EBITDA/Assets:rating dataset 158
11.11 EBITDA/Assets:default dataset 158
11.4A ROA:rating dataset 159
11.12 Cash/ST debts:rating dataset 160
11.13 Cash/ST debts:default dataset 161
11.14 Cash and ST assets/ST debts:rating dataset 161
11.15 Cash and ST assets/ST debts:default dataset 161
11.16 Equity/Assets:rating dataset 163
11.17 Equity/Assets:default dataset 163
11.18 Equity (excl. goodwill)/Assets:rating dataset 164
11.19 Equity (excl. goodwill)/Assets:default dataset 164
11.20 Equity/LT fin. debts:rating dataset 164
11.21 Equity/LT fin. debts.default dataset 165
11.22 EBIT/lnterest:rating dataset 166
11.23 EBIT/lnterest:default dataset 166
11.24 EBITDA/lnterestrating dataset 166
11.25 EBITDA/lnterestdefault dataset 167
11.26 EBITDA/ST fin. debts:rating dataset 167
11.27 EBITDA/ST fin. debts:default dataset 167
11.28 LN(Assets):rating dataset 169
11.29 LN(Assets):default dataset 169
11.30 LN(Turnover):rating dataset 170
11.31 LN(Turnover):default dataset 170
13.1 Rating model implementation 204
15.1 Simulated default rate 215
15.2 S P historical default rates, 1981 2003 216
15.3 Distribution of asset values 218
15.4 Loss distribution 223
15.5 Cumulative bivariate normal distribution 228
15.6 Asset correlation for corporate portfolios 229
15.7 Maturity effect 233
15.8 Loss distribution 234
16.1 Potential asset return of a BBB counterparty 241
1 7.1 A stylized bank economic capital split, percent 280
LIST OF FIGURES, TABLES, AND BOXES
TABLES
1.1 A definition of capital 18
1.2 Risk weight of assets 18
1.3 CCFs 19
1.4 PFE 20
4.1 The Basel 2 timetable 47
5.1 Pillar 1 options 49
5.2 RWA in the Standardized Approach 50
5.3 RWA of past due loans 52
5.4 CCF for the Standardized Approach 52
5.5 RWA for short term issues with external ratings 53
5.6 Simple and comprehensive collateral approach 54
5.7 Supervisory haircuts (ten day holding period) 55
5.8 Minimum holding period 55
5.9 Criteria for internal haircut estimates 56
5.10 Risk parameters 58
5.11 Source of risk estimations 58
5.12 RWA for Specialized Lending 60
5.13 CRM in IRBF 62
5.14 RWA for securitized exposures: Standardized Approach 66
5.15 CCF for off balance securitization exposures 67
5.16 CCF for early amortization features 68
5.17 Risk weights for securitization exposures under the RBA 69
5.18 The Standardized Approach to operational risk 74
5A.1 CCF for an underlying other than debt and forex
instruments 79
5A.2 CCF for an underlying that consists of debt instruments 80
5A.3 Swap 1 and 2 80
5A.4 CCF multiplication 81
5A.5 Application of the double default effect 84
5A.6 Capital requirements for DVP transactions 88
6.1 CEBS high level principles for pillar 2 93
7.1 Pillar 3 disclosures 97
8.1 Results of QIS 3 ford 0 banks 102
8.2 Results of QIS 3 for C10 banks: maximum and minimum
deviations 103
8.3 Results of QIS 3 for G10 banks: individual portfolio results 103
10.1 Summary of bankruptcy prediction techniques 122
10.2 Key criteria for evaluating scoring techniques 124
10.3 Bankruptcy models: main characteristics 131
10.4 Accuracy ratios 132
10.5 ROC and AR: indicative values 142
11.1 Explanatory variables 150
LIST OF FIGURES, TABLES, AND BOXES
11.2 Ratio calculation 153
11.3 Profitability ratios: performance measures 160
11.4 Liquidity ratios: performance measures 162
11.5 Leverage ratios: performance measures 165
11.6 Coverage ratios: performance measures 168
11.7 Size variables: performance measures 170
11.8 Correlation matrix: rating dataset 172
11.9 Correlation matrix: default dataset 173
11.10 Performance of the Corporate model 176
11.11 Performance of the Midcorp model 177
11.12 Typical rating sheet 180
11.13 Impact of qualitative score on the financial rating 181
12.1 LGD public studies 195
15.1 Simulated standard deviation of DR 217
15.2 Estimated default correlation 227
15.3 Implied asset correlation 228
16.1 A non granular portfolio 238
16.2 The concentration effect 238
16.3 The credit VAR test 239
16.4 An average one year migration matrix 240
16.5 Corporate spreads 243
16.6 A stylized transition matrix 244
16.7 Comparison between the Basel 2 formula and the credit
VAR MTM results 245
16.8 VAR comparison between various sector concentrations 246
17.1 Benchmarking results: credit risk 251
17.2 Benchmarking results: market risk 254
17.3 Benchmarking results: operational risk 260
17.4 Benchmarking results: strategic risk 263
17.5 Benchmarking results: reputational risk 265
17.6 Benchmarking results: business risk 268
17.7 Benchmarking results: liquidity risk 270
17.8 Benchmarking results: other risk 274
17.9 Summary of benchmarking study 276
1 7.10 Determination of the confidence interval 277
17.11 Correlation matrix: ranges 279
BOXES
1.1 A chronology of banking regulation: 1 1863 1977 6
1.2 A chronology of banking regulation: 2 1979 99 9
2.1 The regulation of market risk, 1922 98 24
5.1 Categories of RWA 51
LIST OF FIGURES, TABLES, AND BOXES
5.2 Calculating a haircut for a three year BBB bond 56
5.3 Calculating adjusted exposure for netting agreements 57
5.4 Classification of exposures 59
5.5 Calculating LGD 62
5A.1 Calculating the final exposure 80
10.1 The key requirements of Basel 2: rating systems 115
10.2 Overview of scoring models 119
10.3 Data used in bankruptcy prediction models 124
10.4 Construction of the scoring model 127
10.5 Five statistical tests 1 36
10.6 Five measures of economic performance 138
11.1 Steps in transforming ratios 151
11.2 Estimating a PD 1 78
12.1 Example of calculating workout LGD 190 |
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| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV022242613 |
| illustrated | Not Illustrated |
| index_date | 2024-07-02T16:36:31Z |
| indexdate | 2024-07-09T20:53:10Z |
| institution | BVB |
| isbn | 9781403948885 1403948887 |
| language | English |
| lccn | 2006043258 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015453512 |
| oclc_num | 67361494 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-11 |
| owner_facet | DE-473 DE-BY-UBG DE-11 |
| physical | XIX, 294 S. graf. Darst. |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | Palgrave Macmillan |
| record_format | marc |
| series2 | Finance and capital markets |
| spelling | Balthazar, Laurent Verfasser aut From Basel 1 to Basel 3 the integration of state-of-the-art risk modeling in banking regulation Laurent Balthazar 1. publ. Basingstoke [u.a.] Palgrave Macmillan 2006 XIX, 294 S. graf. Darst. txt rdacontent n rdamedia nc rdacarrier Finance and capital markets Includes bibliographical references and index Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4443301-3 gnd rswk-swf Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd rswk-swf Bank Recht Asset-liability management Law and legislation Banks and banking Accounting Law and legislation Banks and banking, International Law and legislation Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Basel standards Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4443301-3 u Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 u DE-604 Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s http://www.loc.gov/catdir/enhancements/fy0634/2006043258-b.html Contributor biographical information http://www.loc.gov/catdir/enhancements/fy0634/2006043258-d.html Publisher description http://www.loc.gov/catdir/enhancements/fy0634/2006043258-t.html Table of contents only HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015453512&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Balthazar, Laurent From Basel 1 to Basel 3 the integration of state-of-the-art risk modeling in banking regulation Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4443301-3 gnd Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd Bank Recht Asset-liability management Law and legislation Banks and banking Accounting Law and legislation Banks and banking, International Law and legislation Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4443301-3 (DE-588)4679731-2 (DE-588)4121590-4 (DE-588)4114309-7 |
| title | From Basel 1 to Basel 3 the integration of state-of-the-art risk modeling in banking regulation |
| title_auth | From Basel 1 to Basel 3 the integration of state-of-the-art risk modeling in banking regulation |
| title_exact_search | From Basel 1 to Basel 3 the integration of state-of-the-art risk modeling in banking regulation |
| title_exact_search_txtP | From Basel 1 to Basel 3 the integration of state-of-the-art risk modeling in banking regulation |
| title_full | From Basel 1 to Basel 3 the integration of state-of-the-art risk modeling in banking regulation Laurent Balthazar |
| title_fullStr | From Basel 1 to Basel 3 the integration of state-of-the-art risk modeling in banking regulation Laurent Balthazar |
| title_full_unstemmed | From Basel 1 to Basel 3 the integration of state-of-the-art risk modeling in banking regulation Laurent Balthazar |
| title_short | From Basel 1 to Basel 3 |
| title_sort | from basel 1 to basel 3 the integration of state of the art risk modeling in banking regulation |
| title_sub | the integration of state-of-the-art risk modeling in banking regulation |
| topic | Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4443301-3 gnd Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd Bank Recht Asset-liability management Law and legislation Banks and banking Accounting Law and legislation Banks and banking, International Law and legislation Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung Bank Recht Asset-liability management Law and legislation Banks and banking Accounting Law and legislation Banks and banking, International Law and legislation Risikomanagement Kreditrisiko |
| url | http://www.loc.gov/catdir/enhancements/fy0634/2006043258-b.html http://www.loc.gov/catdir/enhancements/fy0634/2006043258-d.html http://www.loc.gov/catdir/enhancements/fy0634/2006043258-t.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015453512&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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