The Basel handbook: a guide for financial practitioners
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
2007
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXXIII, 661 S. graph. Darst. |
| ISBN: | 1904339557 |
Internformat
MARC
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| 245 | 1 | 0 | |a The Basel handbook |b a guide for financial practitioners |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a London |b Risk Books |c 2007 | |
| 300 | |a XXXIII, 661 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 610 | 2 | 4 | |a Basle Committee on Banking Supervision |
| 610 | 2 | 7 | |a Basel Committee on Banking Supervision |t Basler Eigenkapitalvereinbarung |0 (DE-588)4679731-2 |2 gnd |9 rswk-swf |
| 650 | 4 | |a Asset-liability management | |
| 650 | 4 | |a Bank capital | |
| 650 | 4 | |a Credit control | |
| 650 | 4 | |a International finance | |
| 650 | 4 | |a Risk management | |
| 655 | 7 | |0 (DE-588)4143413-4 |a Aufsatzsammlung |2 gnd-content | |
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| 700 | 1 | |a Ong, Michael K. |e Sonstige |4 oth | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-016073053 | ||
Datensatz im Suchindex
| _version_ | 1804137125530042368 |
|---|---|
| adam_text | Contents
Foreword
vii
About the Authors
ix
Introduction
xxiii
Michael K. Ong
SECTION ONE: PARAMETERISATION OF THE INTERNAL
RATINGS-BASED APPROACH
1
Development and Validation of Key Estimates for
Capital Models
3
Michel Araten
2
Explaining the Correlation in Basel II:
Derivation and Evaluation
21
Christian Bluhm, Ludger Overbeck
3
Explaining the Credit Risk Elements in Basel II
39
Simon Hills, Ross Barrett
4
Loss Given Default and Recovery Risk: From Basel II
Standards to Effective Risk Management Tools
61
Andrea
Resti,
Andrea Sironi
5
Assessing the Validity of Basel II Models in Measuring
Risk of Credit Portfolios
99
Leonid V. PhilosophoO
6
Measuring Counterparty Credit Risk for Trading
Products under Basel II
123
Michael Pykhtin, Steven Zhu
SECTION TWO: IMPLEMENTATION AND TESTING OF
COMPLIANT IRB SYSTEMS
7
Implementation of an IRB-Compliant Rating System
163
Sebastian Fritz, Michael Luxenburger, Thomas Miehe
8
Stress Tests of Banks Regulatory Capital Adequacy:
Application to Tier
1
Capital and to Pillar
2
Stress Tests
215
Ese
Jokivuolle,
Samu
Peura
9
Advanced Credit Model Performance Testing to Meet Basel
Requirements: How Things Have Changed!
239
Donald R. van
Deventer, Li
Li, Xiaoming Wang
10
Designing and Implementing a Basel II Compliant
РГГ-ТТС
Ratings Framework
267
Scott
D. Aguais,
Lawrence R. Forest Jr, Martin King,
Marie Claire
Lennon,
Brolo
Lordkipanidze
THE BASEL HANDBOOK
U
Basel II in the Light of
Mood/s KMV
Evidence
299
Martti
Purhonen
SECTION THREE: SECURITISATIONS AND RETAIL PORTFOLIOS
12
Basel II Capital Adequacy Rules for Retail Exposures
313
Ashish Dev
13
IRB-Compliant Models in Retail Banking
335
Robina Nankervis,
Marine Nelson
14
Basel II Capital Adequacy Rules for Securitisations
369
Vandana Rao
SECTION FOUR: REGULATORY EXPECTATIONS AND
DISCLOSURE ISSUES
15
Regulatory Priorities and Expectations in the
Implementation of the IRB Approach
395
Ed Duncan
16
Market Discipline and Appropriate Disclosure in Basel II
427
Lawrence
}.
White
17
Validation of Banks Internal Rating Systems
-
A Supervisory
Perspective
453
Stefan Blochwitz, Stefan
Hohl
18
Rebalancing the Three Pillars of Basel II
481
Jean-Charles Rochet
SECTION FIVE: IMPLEMENTING THE ADVANCED
MEASUREMENT APPROACH FOR OPERATIONAL RISK
19
Implementing a Basel II Scenario-Based
AMA
for
Operational Risk
501
Ulrich
Anders,
Gerrit Jan
van den Brink
20
Loss Distribution Approach in Practice
527
Antoine Frachot,
Olivier Moudoulaud, Thierry Roncalli
21
An Operational Risk Rating Model Approach to Better
Measurement and Management of Operational Risk
555
Anthony
Feccia
SECTION SIX: LOSS DATABASE AND INSURANCE
22
Constructing an Operational Event Database
595
Michael
Haubenstock
23
Insurance and Operational Risk
633
John Thirlwell
Index
655
vi
|
| adam_txt |
Contents
Foreword
vii
About the Authors
ix
Introduction
xxiii
Michael K. Ong
SECTION ONE: PARAMETERISATION OF THE INTERNAL
RATINGS-BASED APPROACH
1
Development and Validation of Key Estimates for
Capital Models
3
Michel Araten
2
Explaining the Correlation in Basel II:
Derivation and Evaluation
21
Christian Bluhm, Ludger Overbeck
3
Explaining the Credit Risk Elements in Basel II
39
Simon Hills, Ross Barrett
4
Loss Given Default and Recovery Risk: From Basel II
Standards to Effective Risk Management Tools
61
Andrea
Resti,
Andrea Sironi
5
Assessing the Validity of Basel II Models in Measuring
Risk of Credit Portfolios
99
Leonid V. PhilosophoO
6
Measuring Counterparty Credit Risk for Trading
Products under Basel II
123
Michael Pykhtin, Steven Zhu
SECTION TWO: IMPLEMENTATION AND TESTING OF
COMPLIANT IRB SYSTEMS
7
Implementation of an IRB-Compliant Rating System
163
Sebastian Fritz, Michael Luxenburger, Thomas Miehe
8
Stress Tests of Banks' Regulatory Capital Adequacy:
Application to Tier
1
Capital and to Pillar
2
Stress Tests
215
Ese
Jokivuolle,
Samu
Peura
9
Advanced Credit Model Performance Testing to Meet Basel
Requirements: How Things Have Changed!
239
Donald R. van
Deventer, Li
Li, Xiaoming Wang
10
Designing and Implementing a Basel II Compliant
РГГ-ТТС
Ratings Framework
267
Scott
D. Aguais,
Lawrence R. Forest Jr, Martin King,
Marie Claire
Lennon,
Brolo
Lordkipanidze
THE BASEL HANDBOOK
U
Basel II in the Light of
Mood/s KMV
Evidence
299
Martti
Purhonen
SECTION THREE: SECURITISATIONS AND RETAIL PORTFOLIOS
12
Basel II Capital Adequacy Rules for Retail Exposures
313
Ashish Dev
13
IRB-Compliant Models in Retail Banking
335
Robina Nankervis,
Marine Nelson
14
Basel II Capital Adequacy Rules for Securitisations
369
Vandana Rao
SECTION FOUR: REGULATORY EXPECTATIONS AND
DISCLOSURE ISSUES
15
Regulatory Priorities and Expectations in the
Implementation of the IRB Approach
395
Ed Duncan
16
Market Discipline and Appropriate Disclosure in Basel II
427
Lawrence
}.
White
17
Validation of Banks' Internal Rating Systems
-
A Supervisory
Perspective
453
Stefan Blochwitz, Stefan
Hohl
18
Rebalancing the Three Pillars of Basel II
481
Jean-Charles Rochet
SECTION FIVE: IMPLEMENTING THE ADVANCED
MEASUREMENT APPROACH FOR OPERATIONAL RISK
19
Implementing a Basel II Scenario-Based
AMA
for
Operational Risk
501
Ulrich
Anders,
Gerrit Jan
van den Brink
20
Loss Distribution Approach in Practice
527
Antoine Frachot,
Olivier Moudoulaud, Thierry Roncalli
21
An Operational Risk Rating Model Approach to Better
Measurement and Management of Operational Risk
555
Anthony
Feccia
SECTION SIX: LOSS DATABASE AND INSURANCE
22
Constructing an Operational Event Database
595
Michael
Haubenstock
23
Insurance and Operational Risk
633
John Thirlwell
Index
655
vi |
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| index_date | 2024-07-02T18:45:58Z |
| indexdate | 2024-07-09T21:07:19Z |
| institution | BVB |
| isbn | 1904339557 |
| language | English |
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| spelling | The Basel handbook a guide for financial practitioners 2. ed. London Risk Books 2007 XXXIII, 661 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Basle Committee on Banking Supervision Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd rswk-swf Asset-liability management Bank capital Credit control International finance Risk management (DE-588)4143413-4 Aufsatzsammlung gnd-content Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 u b DE-604 Ong, Michael K. Sonstige oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016073053&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | The Basel handbook a guide for financial practitioners Basle Committee on Banking Supervision Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd Asset-liability management Bank capital Credit control International finance Risk management |
| subject_GND | (DE-588)4679731-2 (DE-588)4143413-4 |
| title | The Basel handbook a guide for financial practitioners |
| title_auth | The Basel handbook a guide for financial practitioners |
| title_exact_search | The Basel handbook a guide for financial practitioners |
| title_exact_search_txtP | The Basel handbook a guide for financial practitioners |
| title_full | The Basel handbook a guide for financial practitioners |
| title_fullStr | The Basel handbook a guide for financial practitioners |
| title_full_unstemmed | The Basel handbook a guide for financial practitioners |
| title_short | The Basel handbook |
| title_sort | the basel handbook a guide for financial practitioners |
| title_sub | a guide for financial practitioners |
| topic | Basle Committee on Banking Supervision Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd Asset-liability management Bank capital Credit control International finance Risk management |
| topic_facet | Basle Committee on Banking Supervision Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung Asset-liability management Bank capital Credit control International finance Risk management Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016073053&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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