Basel II implementation: a guide to developing and validating a compliant, internal risk rating system
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
McGraw-Hill
2009
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Physical Description: | XIII, 333 S. graph. Darst. CD-ROM (12 cm) |
| ISBN: | 0071591303 9780071591300 9780071591324 007159132X 9780071591331 0071591338 |
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MARC
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| 245 | 1 | 0 | |a Basel II implementation |b a guide to developing and validating a compliant, internal risk rating system |c Bogie Ozdemir and Peter Miu |
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| adam_text | CONTENTS
Acknowledgments
ix
Introduction
xi
Chapter
1
Risk Ratings System Design
1
Overview
1
The Use of Credit Risk Assessment Templates in IRRS
2
The Use of Quantitative Models in IRRS
6
The Use of Hybrid Models in IRRS
10
The Use of Retail Models in IRRS
14
The Use of LGD Models in IRRS
16
The Choice of LGD Discount Rate
19
Discount Rate for Workout Recoveries: An Empirical Study
21
Conclusions
63
Chapter
2
Risk Ratings System Quantification
65
Overview
65
Risk Rating Philosophy
67
Long-run PD
77
Downturn LGD
96
Downturn EAD
122
Downturn LGD: A Case Study
124
Establishing a Master Scale
134
Stress Testing
138
EAD Estimation
171
vii
viii Contents
Chapter
3
Validation of Internal Risk Rating System
183
Overview
183
Confirmation of the Conceptual Soundness and Initial Risk Quantification
of the Design of the IRRS
184
Confirmation of Risk Rating System Operations
200
Annual Examination of the Overall Performance
of the Risk Rating System
203
Validation of Mappings between Internal and
External Risk Rating Systems
269
Annual Health Check
271
Governance
271
Conclusions
278
Chapter
4
Pillar II, Challenges, and Dealing with Procyclicality
281
Introduction
281
Background Definitions
282
Some Pillar
Π
Implementation Issues
290
Capital Planning and Capital Adequacy Assessment
Framework with Respect to Pillar
Π
296
Conclusions
303
Notes
305
Index
319
Many financial institutions around
the world must prove minimum
compliance to the Basel II Accords by
2015.
For several banks, implement¬
ing internal risk rating systems (IRRS)
is simply Basel II compliance. However,
when carried out with a proper focus on
bottom-line growth, this regulation has
been shown to enhance a bank s risk-
management practices and competitive¬
ness in the market. Basel II Implementation
is an invaluable guide that puts a potent
combination of theory and real-world
practice at your fingertips.
Written by two of the most globally recog¬
nized and sought-after thought leaders in
Basel II implementation, this how-to book
maps out, step-by-step, implementable
solutions that are both academically
credible and practical, making them
défendable
to regulators and executable
within the constraints of data, resources,
and time. Organized to sequentially
follow IRRS development under Basel II,
each section of this go-to guide provides:
■
An introduction to the
Basel II concept
■
A variety of techniques for reaching
compliance, based on research
conducted by the authors and
supported by Standard
&
Poor s
■
Corporate case examples that
illustrate implementation in the
real world
To complement the holistic approach
in Basel II Implementation, which offers
end-to-end analysis of various credit
risk problems, an accompanying CD-
ROM features a wealth of useful
spreadsheet templates that will facilitate
the efficient and accurate execution of
covered techniques.
Stay ahead of the curve with the expert
strategies and advice found in Basel II
Implementation.
BOGIE
ÖZDEMIR
is Vice President of Risk
Solutions at Standard
&
Poor s. He
has worked in different areas of risk
management for more than ten years,
most recently as a senior director in
the Risk Analytics group of the Bank of
Montreal. He has published numerous
articles in The Journal of Credit Risk.
PETER MIL) is an Associate Professor of
Finance and teaches financial institutions
in the DeGroote School of Business at
McMaster University (Canada). He is also
a consultant to Standard
&
Poor s Risk
Solutions, where he advises financial insti¬
tutions and financial regulators globally
on the implementation of Basel II.
Cover design·.
Ty
Nowicki
THE PRIMARY GUIDE TO THE FINANCIAL INDUSTRY S
LARGEST RISK-MANAGEMENT INITIATIVE
How do you comply with the Basel Accords using your financial institution s data, time, and resources?
With the help of Basel II Implementation, not only will you reach full compliance efficiently, you also will enhance your bank s
risk-management practices and improve its competitive position in the market
—
all while targeting bottom-line growth.
This how-to guide provides step-by-step techniques from two world leaders in Basel II implementation. Sections conveniently
unfold in the same manner that internal risk rating systems (IRRS] are developed under Basel II, and each covered tech¬
nique is accompanied by implementation examples from the authors personal experiences assisting major banks around
the world. With a focus on Basel II, this thorough resource integrates best practices echoed in both Basel I and II Accords,
while covering:
■
How to design IRRS to assess
PD, L6D,
and EAD
■
IRRS quantification, including the estimation of long-run PD and downturn LGD
: EAD estimation, written by Stuart Brannan, Managing Director, BMO Financial Group
■
LGD estimation and LGD discount rate
Validation and governance
■
Capital management under Pillar II, dealing with pro-cyclicality
■
Stress testing
Basel II Implementation goes beyond the nuts and bolts of compliance by illuminating the theoretical foundation that the
regulations are built upon. The effective mix of hands-on practicality and academic credibility makes this book a powerful
tool for achieving compliance with real-world solutions that are
défendable
to regulators. An accompanying CD-ROM provides
numerous ready-to-use spreadsheets that will ensure a successfully thorough implementation of IRRS.
Put yourself ahead of the competition today by transforming research results into operational tools with the help of
Basel II Implementation.
LEARN ABOUT NEW BOOKS FROM
TOP EXPERTS IN FINANCE AND INVESTING AT
mhprofessional. com/finance.
|
| adam_txt |
CONTENTS
Acknowledgments
ix
Introduction
xi
Chapter
1
Risk Ratings System Design
1
Overview
1
The Use of Credit Risk Assessment Templates in IRRS
2
The Use of Quantitative Models in IRRS
6
The Use of Hybrid Models in IRRS
10
The Use of Retail Models in IRRS
14
The Use of LGD Models in IRRS
16
The Choice of LGD Discount Rate
19
Discount Rate for Workout Recoveries: An Empirical Study
21
Conclusions
63
Chapter
2
Risk Ratings System Quantification
65
Overview
65
Risk Rating Philosophy
67
Long-run PD
77
Downturn LGD
96
Downturn EAD
122
Downturn LGD: A Case Study
124
Establishing a Master Scale
134
Stress Testing
138
EAD Estimation
171
vii
viii Contents
Chapter
3
Validation of Internal Risk Rating System
183
Overview
183
Confirmation of the Conceptual Soundness and Initial Risk Quantification
of the Design of the IRRS
184
Confirmation of Risk Rating System Operations
200
Annual Examination of the Overall Performance
of the Risk Rating System
203
Validation of Mappings between Internal and
External Risk Rating Systems
269
Annual Health Check
271
Governance
271
Conclusions
278
Chapter
4
Pillar II, Challenges, and Dealing with Procyclicality
281
Introduction
281
Background Definitions
282
Some Pillar
Π
Implementation Issues
290
Capital Planning and Capital Adequacy Assessment
Framework with Respect to Pillar
Π
296
Conclusions
303
Notes
305
Index
319
Many financial institutions around
the world must prove minimum
compliance to the Basel II Accords by
2015.
For several banks, implement¬
ing internal risk rating systems (IRRS)
is simply Basel II compliance. However,
when carried out with a proper focus on
bottom-line growth, this regulation has
been shown to enhance a bank's risk-
management practices and competitive¬
ness in the market. Basel II Implementation
is an invaluable guide that puts a potent
combination of theory and real-world
practice at your fingertips.
Written by two of the most globally recog¬
nized and sought-after thought leaders in
Basel II implementation, this how-to book
maps out, step-by-step, implementable
solutions that are both academically
credible and practical, making them
défendable
to regulators and executable
within the constraints of data, resources,
and time. Organized to sequentially
follow IRRS development under Basel II,
each section of this go-to guide provides:
■
An introduction to the
Basel II concept
■
A variety of techniques for reaching
compliance, based on research
conducted by the authors and
supported by Standard
&
Poor's
■
Corporate case examples that
illustrate implementation in the
real world
To complement the holistic approach
in Basel II Implementation, which offers
end-to-end analysis of various credit
risk problems, an accompanying CD-
ROM features a wealth of useful
spreadsheet templates that will facilitate
the efficient and accurate execution of
covered techniques.
Stay ahead of the curve with the expert
strategies and advice found in Basel II
Implementation.
BOGIE
ÖZDEMIR
is Vice President of Risk
Solutions at Standard
&
Poor's. He
has worked in different areas of risk
management for more than ten years,
most recently as a senior director in
the Risk Analytics group of the Bank of
Montreal. He has published numerous
articles in The Journal of Credit Risk.
PETER MIL) is an Associate Professor of
Finance and teaches financial institutions
in the DeGroote School of Business at
McMaster University (Canada). He is also
a consultant to Standard
&
Poor's Risk
Solutions, where he advises financial insti¬
tutions and financial regulators globally
on the implementation of Basel II.
Cover design·.
Ty
Nowicki
THE PRIMARY GUIDE TO THE FINANCIAL INDUSTRY'S
LARGEST RISK-MANAGEMENT INITIATIVE
How do you comply with the Basel Accords using your financial institution's data, time, and resources?
With the help of Basel II Implementation, not only will you reach full compliance efficiently, you also will enhance your bank's
risk-management practices and improve its competitive position in the market
—
all while targeting bottom-line growth.
This how-to guide provides step-by-step techniques from two world leaders in Basel II implementation. Sections conveniently
unfold in the same manner that internal risk rating systems (IRRS] are developed under Basel II, and each covered tech¬
nique is accompanied by implementation examples from the authors' personal experiences assisting major banks around
the world. With a focus on Basel II, this thorough resource integrates best practices echoed in both Basel I and II Accords,
while covering:
■
How to design IRRS to assess
PD, L6D,
and EAD
■
IRRS quantification, including the estimation of long-run PD and downturn LGD
: EAD estimation, written by Stuart Brannan, Managing Director, BMO Financial Group
■
LGD estimation and LGD discount rate
Validation and governance
■
Capital management under Pillar II, dealing with pro-cyclicality
■
Stress testing
Basel II Implementation goes beyond the nuts and bolts of compliance by illuminating the theoretical foundation that the
regulations are built upon. The effective mix of hands-on practicality and academic credibility makes this book a powerful
tool for achieving compliance with real-world solutions that are
défendable
to regulators. An accompanying CD-ROM provides
numerous ready-to-use spreadsheets that will ensure a successfully thorough implementation of IRRS.
Put yourself ahead of the competition today by transforming research results into operational tools with the help of
Basel II Implementation.
LEARN ABOUT NEW BOOKS FROM
TOP EXPERTS IN FINANCE AND INVESTING AT
mhprofessional. com/finance. |
| any_adam_object | 1 |
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| index_date | 2024-07-02T22:05:16Z |
| indexdate | 2024-07-09T21:21:37Z |
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| isbn | 0071591303 9780071591300 9780071591324 007159132X 9780071591331 0071591338 |
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| spelling | Ozdemir, Bogie Verfasser aut Basel II implementation a guide to developing and validating a compliant, internal risk rating system Bogie Ozdemir and Peter Miu New York [u.a.] McGraw-Hill 2009 XIII, 333 S. graph. Darst. CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Basle Committee on Banking Supervision Bank Banks and banking / Standards Banks and banking / Risk management Asset-liability management Miu, Peter Verfasser (DE-588)136233775 aut Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016743436&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016743436&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Ozdemir, Bogie Miu, Peter Basel II implementation a guide to developing and validating a compliant, internal risk rating system Basle Committee on Banking Supervision Bank Banks and banking / Standards Banks and banking / Risk management Asset-liability management |
| title | Basel II implementation a guide to developing and validating a compliant, internal risk rating system |
| title_auth | Basel II implementation a guide to developing and validating a compliant, internal risk rating system |
| title_exact_search | Basel II implementation a guide to developing and validating a compliant, internal risk rating system |
| title_exact_search_txtP | Basel II implementation a guide to developing and validating a compliant, internal risk rating system |
| title_full | Basel II implementation a guide to developing and validating a compliant, internal risk rating system Bogie Ozdemir and Peter Miu |
| title_fullStr | Basel II implementation a guide to developing and validating a compliant, internal risk rating system Bogie Ozdemir and Peter Miu |
| title_full_unstemmed | Basel II implementation a guide to developing and validating a compliant, internal risk rating system Bogie Ozdemir and Peter Miu |
| title_short | Basel II implementation |
| title_sort | basel ii implementation a guide to developing and validating a compliant internal risk rating system |
| title_sub | a guide to developing and validating a compliant, internal risk rating system |
| topic | Basle Committee on Banking Supervision Bank Banks and banking / Standards Banks and banking / Risk management Asset-liability management |
| topic_facet | Basle Committee on Banking Supervision Bank Banks and banking / Standards Banks and banking / Risk management Asset-liability management |
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