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From Basel 1 to Basel 3 L. Balthazar

From Basel 1 to Basel 3 By L. Balthazar

From Basel 1 to Basel 3 by L. Balthazar

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Summary

The proposed rules are presented and key issues regarding implementation of the accord identified. The model used to calibrate the capital requirements under Basel 2 is analyzed and projected forward to present what could be key new elements in the future Basel 3 regulation. A CD-ROM is included to illustrate regulator models.

From Basel 1 to Basel 3 Summary

From Basel 1 to Basel 3: The Integration of State of the Art Risk Modelling in Banking Regulation by L. Balthazar

The proposed rules are presented and key issues regarding implementation of the accord identified. The model used to calibrate the capital requirements under Basel 2 is analyzed and projected forward to present what could be key new elements in the future Basel 3 regulation. A CD-ROM is included to illustrate regulator models.

About L. Balthazar

LAURENT BALTHAZAR is Head of Economic & Regulatory Capital at Dexia Bank. He has been responsible for the development of scoring models and of the RAROC methodology. He is also involved in the implementation of the Basel 2 project and of the economic capital framework. He is a frequent speaker at conferences and delivered trainings on Basel 2 in Eastern Europe countries.

Table of Contents

Introduction PART 1: CURRENT BANKING REGULATION Basel 1 Market Risk Amendment Critics of Basel 1 PART 2: DESCRIPTION OF BASEL 2 Overview of the New Accord Pillar 1 - The solvency ratio Pillar 1 - Appendix Pillar 2 - Supervisory Review Process Pillar 3 - Market Discipline Potential Impacts of Basel 2 PART 3: IMPLEMENTING BASEL 2 Basel 2 and IT Systems Scoring Systems - Theoretical Aspects Scoring Systems - Case study LGD Implementation of the Accord PART 4: PILLAR 2, AN OPEN ROAD TO BASEL 3 From Basel 1 to Basel 3 The Basel 2 Model Extending the Model Integrating other Kinds of Risks Conclusions

Additional information

NLS9781349525256
9781349525256
1349525251
From Basel 1 to Basel 3: The Integration of State of the Art Risk Modelling in Banking Regulation by L. Balthazar
L. Balthazar
Finance and Capital Markets Series
New
Paperback
Palgrave Macmillan
2006-01-01
294
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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Customer Reviews - From Basel 1 to Basel 3