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The Use of Internal Models: Comparison of the New Basel Credit Proposals with Available Internal Models for Credit Risk

Michel Crouhy, Dan Galai, and Robert Mark

in Capital Adequacy beyond Basel: Banking, Securities, and Insurance

Published in print:
2005
Published Online:
January 2007
ISBN:
9780195169713
eISBN:
9780199783717
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195169713.003.0006
Subject:
Economics and Finance, Financial Economics

This chapter presents the New Capital Adequacy Accord proposed by the Basel Committee on Banking Supervision (Basel II) to replace the current 1988 Capital Accord (Basel I) by a more risk-sensitive ... More


Using Basel II to Facilitate Access to Finance: The Disclosure of Internal Credit Ratings

Gérard Hertig

in Corporate Governance in Context: Corporations, States, and Markets in Europe, Japan, and the US

Published in print:
2005
Published Online:
March 2012
ISBN:
9780199290703
eISBN:
9780191700576
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199290703.003.0026
Subject:
Law, Company and Commercial Law

This chapter argues that it is possible to design a regulatory framework under which the benefits of mandatory rating disclosure clearly outweigh its costs, which in turn should minimize interest ... More


Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements

Mark Carey

in Prudential Supervision: What Works and What Doesn't

Published in print:
2002
Published Online:
February 2013
ISBN:
9780226531885
eISBN:
9780226531939
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226531939.003.0006
Subject:
Economics and Finance, Financial Economics

This chapter uses the Monte Carlo resampling method of Carey (1998) to provide nonparametric empirical evidence about the practical importance to portfolio bad-tail loss rates of several different ... More


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