Bank Capital and Loan Loss Reserves Under Basel II: Implications for Emerging Countries
The authors propose an integrated
approach to minimum bank capital, and loan loss reserves
regulation. They break new ground in two main areas. First,
the authors provide an explicit measurement of the credit
loss distribution for a sample of emerging countries,
providing a benchmark for discussing the appropriate
calibration of new regulatory capital, and loan loss
provision requirements for non-G10 countries. Second, on
normative grounds, they propose a simplified version of the
"internal rating based" (IRB) approach as a
transition tool that, while retaining a risk-based
definition of solvency ratios, implies reduced supervisory
monitoring costs, and could therefore be of interest to
emerging countries, where supervisory resources are
particularly scarce.
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Bibliographic Details
| Main Authors: |
Majnoni, Giovanni,
Miller, Margaret,
Powell, Andrew |
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| Language: | English
en_US |
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| Published: |
World Bank, Washington, D.C.
2004-10
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| Subjects: | APPLICATIONS,
AUTONOMY,
BANK CAPITAL,
BANK CREDIT,
BANK DEPOSITS,
BANK LOANS,
BANK RATINGS,
BANK REGULATION,
BANK SOLVENCY,
BANK SUPERVISION,
BANKING SECTOR,
BANKING SUPERVISION,
BANKING SYSTEM,
BANKS,
CAPITAL REQUIREMENT,
CAPITAL REQUIREMENTS,
COVERAGE,
CREDIT RATINGS,
CREDIT RISK,
CURRENCY,
DEBT,
DEPOSITS,
EMERGING MARKETS,
EXPOSURE,
FACE VALUE,
FINANCIAL INTERMEDIATION,
FINANCIAL PRODUCTS,
FINANCIAL SUPPORT,
FINANCIAL SYSTEM,
HONG KONG MONETARY AUTHORITY,
INTERNATIONAL BANKS,
LOAN CLASSIFICATION,
LOAN SIZE,
MATURITY,
MONETARY AUTHORITIES,
PORTFOLIOS,
PRIVATE DEBT,
PROBABILITY OF DEFAULT,
QUANTITATIVE ANALYSIS,
RATES,
RATING AGENCIES,
RATING SYSTEMS,
REGIONAL BANKS,
RESERVES,
RESERVES REQUIREMENTS,
RISK FACTORS,
RISK MANAGEMENT,
RISK MEASUREMENT,
RISK PROFILES,
SAM,
SMALL LOANS,
SOLVENCY RATIOS,
SOVEREIGN RISK, |
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| Online Access: | http://documents.worldbank.org/curated/en/2004/10/5304264/bank-capital-loan-loss-reserves-under-basel-ii-implications-emerging-countries
https://hdl.handle.net/10986/14221
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