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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dig-okr-1098685572021-04-23T14:02:43Z Credit Risk Measurement Under Basel II : An Overview and Implementation Issues for Developing Countries Stephanou, Constantinos Mendoza, Juan Carlos 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 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. 2012-06-20T19:02:29Z 2012-06-20T19:02:29Z 2005-04 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 English Policy Research Working Paper; No. 3556 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research |
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Banco Mundial |
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Estados Unidos |
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US |
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Bibliográfico |
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En linea |
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biblioteca |
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America del Norte |
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Biblioteca del Banco Mundial |
| language |
English |
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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 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 |
| spellingShingle |
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 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 Stephanou, Constantinos Mendoza, Juan Carlos Credit Risk Measurement Under Basel II : An Overview and Implementation Issues for Developing Countries |
| description |
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. |
| format |
Publications & Research :: Policy Research Working Paper |
| topic_facet |
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 |
| author |
Stephanou, Constantinos Mendoza, Juan Carlos |
| author_facet |
Stephanou, Constantinos Mendoza, Juan Carlos |
| author_sort |
Stephanou, Constantinos |
| title |
Credit Risk Measurement Under Basel II : An Overview and Implementation Issues for Developing Countries |
| title_short |
Credit Risk Measurement Under Basel II : An Overview and Implementation Issues for Developing Countries |
| title_full |
Credit Risk Measurement Under Basel II : An Overview and Implementation Issues for Developing Countries |
| title_fullStr |
Credit Risk Measurement Under Basel II : An Overview and Implementation Issues for Developing Countries |
| title_full_unstemmed |
Credit Risk Measurement Under Basel II : An Overview and Implementation Issues for Developing Countries |
| title_sort |
credit risk measurement under basel ii : an overview and implementation issues for developing countries |
| publisher |
World Bank, Washington, DC |
| publishDate |
2005-04 |
| url |
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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1756572120229347328 |