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Basel II

Tony Van Gestel and Bart Baesens

in Credit Risk Management: Basic Concepts: Financial Risk Components, Rating Analysis, Models, Economic and Regulatory Capital

Published in print:
2008
Published Online:
January 2009
ISBN:
9780199545117
eISBN:
9780191720147
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199545117.003.0006
Subject:
Mathematics, Applied Mathematics, Mathematical Finance

This chapter presents a detailed overview on the Basel II Capital Accord. The capital accord consists of three mutually reinforcing pillars. Pillar 1 defines the minimum capital requirements for ... More


Portfolio credit risk and the Basel Accord

Lyn C. Thomas

in Consumer Credit Models: Pricing, Profit and Portfolios

Published in print:
2009
Published Online:
May 2009
ISBN:
9780199232130
eISBN:
9780191715914
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199232130.003.0005
Subject:
Mathematics, Applied Mathematics, Mathematical Finance

The previous chapters in the book have concentrated on modelling decisions and uncertainties on one consumer loan. This chapter concentrates on models related to portfolios of such loans. In ... More


Harmonization of Financial Regulation

Junji Nakagawa

in International Harmonization of Economic Regulation

Published in print:
2011
Published Online:
January 2012
ISBN:
9780199604661
eISBN:
9780191731679
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199604661.003.0008
Subject:
Law, Public International Law

This chapter analyzes international harmonization of financial regulation. This is a relatively new regulatory area, with international harmonization efforts starting only in the 1980s. ... More


Credit Risk Management: Basic Concepts: Financial Risk Components, Rating Analysis, Models, Economic and Regulatory Capital

Tony Van Gestel and Bart Baesens

Published in print:
2008
Published Online:
January 2009
ISBN:
9780199545117
eISBN:
9780191720147
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199545117.001.0001
Subject:
Mathematics, Applied Mathematics, Mathematical Finance

This book is the first book of a series of three that provides an overview of all aspects, steps, and issues that should be considered when undertaking credit risk management, including the Basel II ... More


Consumer Credit Models: Pricing, Profit and Portfolios

Lyn C. Thomas

Published in print:
2009
Published Online:
May 2009
ISBN:
9780199232130
eISBN:
9780191715914
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199232130.001.1
Subject:
Mathematics, Applied Mathematics, Mathematical Finance

Credit scoring — the quantitative and statistical techniques which assess the credit risks when lending to consumers — has been one of the most successful if unsung applications of mathematics in ... More


In Search of Stability: Bank Capital and Liquidity Requirements

Scott James and Lucia Quaglia

in The UK and Multi-level Financial Regulation: From Post-crisis Reform to Brexit

Published in print:
2020
Published Online:
February 2020
ISBN:
9780198828952
eISBN:
9780191867439
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198828952.003.0004
Subject:
Political Science, Political Economy

Following the financial crisis, UK preferences shifted decisively in favour of trading up bank capital and liquidity requirements. To reassure voters, elected officials intervened in the regulatory ... More


The Determinants of European Bank Exposure to Systemic Shocks

Jens Hagendorff

in Size, Risk, and Governance in European Banking

Published in print:
2013
Published Online:
January 2014
ISBN:
9780199694891
eISBN:
9780191748820
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199694891.003.0005
Subject:
Business and Management, Finance, Accounting, and Banking

The purpose of this chapter is to analyse whether a European banking system, which consists of smaller and more specialised banking firms and is regulated with a larger set of prudential rules than ... More


Capital Regulation

John Armour, Dan Awrey, Paul Davies, Luca Enriques, Jeffrey N. Gordon, Colin Mayer, and Jennifer Payne

in Principles of Financial Regulation

Published in print:
2016
Published Online:
October 2016
ISBN:
9780198786474
eISBN:
9780191828782
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198786474.003.0014
Subject:
Law, Constitutional and Administrative Law, Company and Commercial Law

If bank managers and shareholders under-price the risks attached to the bank’s business model, there is a potential role for regulation to address this market failure. The core idea behind capital ... More


Risk Management and Financial Disasters

Gabriele Sabato

in Investment Risk Management

Published in print:
2015
Published Online:
January 2015
ISBN:
9780199331963
eISBN:
9780190214098
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199331963.003.0029
Subject:
Economics and Finance, Financial Economics

Financial markets have experienced many financial crises across time. Although each boom and crisis has some distinctive features, several recurring themes and common patterns emerge. While the ... More


A More Detailed Blueprint

Morgan Ricks

in The Money Problem: Rethinking Financial Regulation

Published in print:
2016
Published Online:
September 2016
ISBN:
9780226330327
eISBN:
9780226330464
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226330464.003.0010
Subject:
Law, Company and Commercial Law

This chapter returns to the institutional blueprint that was described in the Introduction, which represents a particular form of the more generic PPP system from chapter 8. Much of the chapter is ... More


Chapter Nine A More Detailed Blueprint

Morgan Ricks

in The Money Problem: Rethinking Financial Regulation

Published in print:
2016
Published Online:
September 2016
ISBN:
9780226330327
eISBN:
9780226330464
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226330464.003.0010
Subject:
Law, Company and Commercial Law

This chapter returns to the institutional blueprint that was described in the Introduction, which represents a particular form of the more generic PPP system from chapter 8. Much of the chapter is ... More


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