1. Credit risk from Basel II point of view
- Author
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Čabrada, Jiří, Dvořák, Petr, and Onder, Štěpán
- Subjects
IRB modely (modely založené na bázi interních ratingů) ,LGD (Loss Given Defalt) ,LGD (Ztráta v defaultu) ,Capital adequacy ,IRB (Internal Rating Based) models ,Basel II ,Capital requirement ,RWA (Rizikově vážená aktiva) ,EAD (Expozice v defaultu) ,CRM (Prostředky kreditní ochrany) ,PD (Probability of default) ,CRM (Credit Risk Mitigant) ,Kapitálový požadavek ,Kapitálová přiměřenost ,RWA (risk weighted assets) ,EAD (exposure at default) ,PD (Pravděpodobnost defaultu) - Abstract
The thesis "Credit risk from Basel II point of view" deals with new capital concept with main focus on the credit risk. The particular emphasis is laid on the chief issue of Basel II concept i.e. internal models. The thesis quite in detail describes the usage of basel parameters - LGD particularly - in various day-to-day business processes of credit institutions. An individual part of the thesis is devoted to credit risk mitigants and their impacts on the amount of capital requirements. The analysis carried out precedent Basel II implementation indicated the launching of Basel II should imply risk weighted assests to credit risk decline. This documents the last chapter.
- Published
- 2007