Credit Risk Measurement Under Basel II : An Overview and Implementation Issues for Developing Countries

The objective of this paper is to provide an overview of the changes in the calculation of minimum regulatory capital requirements for credit risk that have been drafted by the Basel Committee on Banking Supervision (Basel II). Even though the revised credit capital rules represent a dramatic change compared to Basel I, it is shown that Basel II merely seeks to codify (albeit incompletely) existing good practices in bank risk measurement. However, its effective implementation in many developing countries is hindered by fundamental weaknesses in financial infrastructure that will need to be addressed as a priority.

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Bibliographic Details
Main Authors: Stephanou, Constantinos, Mendoza, Juan Carlos
Format: Policy Research Working Paper biblioteca
Language:English
Published: World Bank, Washington, DC 2005-04
Subjects:ACCOUNTING, ACCOUNTS, ARBITRAGE, ASSET PRICES, BANK CAPITAL, BANKING SUPERVISION, BANKING SYSTEM, BANKING SYSTEMS, BANKS, BONDS, CAPITAL ADEQUACY, CAPITAL ADEQUACY RULES, CAPITAL REQUIREMENT, CAPITAL REQUIREMENTS, CAPITALIZATION, CENTRAL BANK, CENTRAL BANKS, COMMERCIAL CREDIT, COMMERCIAL LOANS, CONSOLIDATION, COVERAGE, CREDIT INSTITUTIONS, CREDIT RATINGS, CREDIT RISK, CREDIT RISK MANAGEMENT, DEBT, DEFAULT RISK, DISCOUNT RATE, ECONOMIC CONDITIONS, ECONOMIC RISK, ECONOMIC VALUE, EXPECTED PRESENT VALUE, EXPECTED VALUE, FACE VALUE, FINANCIAL INFORMATION, FINANCIAL INNOVATION, FINANCIAL INSTITUTIONS, FINANCIAL INTERMEDIATION, FINANCIAL RATIOS, FINANCIAL STRENGTH, FOREIGN EXCHANGE, FRAUD, GROWTH RATE, INCOME STATEMENTS, INSURANCE, INSURANCE COMPANIES, INTEREST INCOME, INTEREST RATE, INTERNATIONAL ACCOUNTING STANDARDS, INTERNATIONAL BANKING, LEGAL FRAMEWORK, LEVEL PLAYING FIELD, LIABILITY, LIQUIDATION, LIQUIDITY, LOAN LOSS PROVISIONS, MARKET DISCIPLINE, MARKET RISK, MARKET RISKS, MARKET VALUE, MORTGAGES, OPERATIONAL RISK, OPERATIONAL RISKS, OPPORTUNITY COST, PORTFOLIO, PORTFOLIO THEORY, PORTFOLIOS, PRESENT VALUE, PROBABILITY OF DEFAULT, PROFITABILITY, PUBLIC DEBT, RATES, RATING AGENCIES, RETURN ON EQUITY, RISK ASSESSMENT, RISK FACTORS, RISK MANAGEMENT, RISK MEASUREMENT, RISK MITIGATION, RISK NEUTRAL, RISK PROFILES, RISK REDUCTION, RISK WEIGHTED ASSETS, RISK-WEIGHTED ASSETS, SECURITIZATION, SMALL BUSINESS, SOLVENCY, SOLVENCY RATIOS, SOVEREIGN RISK, STOCK PRICES, SUPERVISORY AUTHORITIES, TIER 1 CAPITAL, UNDERWRITING, VALUATION, VALUE ADDED,
Online Access:http://documents.worldbank.org/curated/en/2005/04/6526048/credit-risk-measurement-under-basel-ii-overview-implementation-issues-developing-countries
http://hdl.handle.net/10986/8557
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