Economic capital allocation with Basel II : cost, benefit and implementation procedures / Dimitris N. Chorafas.

Format:

Book

Author/Creator:

Chorafas, Dimitris N.

Language:

English

Subjects (All):

Basel II (2004 June 26).

Basel II.

Banks and banking--State supervision.

Banks and banking.

Risk management.

Capital.

Credit.

Physical Description:

1 online resource (441 p.)

Edition:

1st ed.

Place of Publication:

Amsterdam ; Boston : Elsevier Butterworth-Heinmann, 2004.

Language Note:

English

Summary:

This book is a complimentary follow-on book to Operational Risk Control with Basel II. While the previous book focuses on operational risk, Economic Capital Allocation provides an overview of credit risk within the context of the Basel II accords.The book provides:* comprehensive coverage of the evolution of the banking industry with Basel II in mind* extensive information on the capital requirements for bank liquidity and solvency * coverage of the new rules as laid down by the supervisory authorities of the Group of Ten industrialized nations* key information on the

Contents:

Economic Capital Allocation with Basel II; Contents; Foreword; Preface; Warning: Basel II, the October 11, 2003, Announcement and its Aftermath; Abbreviations; Part 1: Commercial Banks and the New Regulation; Chapter 1: Basel II, Impact Studies and Cost of Implementation; Chapter 2: Benefits from Risk-Based Pricing and Rating Targets; Chapter 3: Regulatory Capital Defined; Chapter 4: Market Discipline and its Global Impact; Part 2: The Allocation of Economic Capital to Business Units; Chapter 5: Economic Capital Defined; Chapter 6: Economic Capital and Solvency Management

Chapter 7: Economic Capital Allocation: Practical Applications and Theoretical BackgroundChapter 8: Evolving Rules and Procedures for Economic Capital Allocation; Chapter 9: Strategies Used by Banks to Increase their Capital Base; Part 3: Defaults, Internal Ratings and Technological Solutions; Chapter 10: Default Defined; Chapter 11: IRB, Technological Infrastructure, Models and Correlations; Chapter 12: Internal Ratings, Supervisory Weights and Collateral; Chapter 13: Software Which Can Help in IRB Implementation; Chapter 14: How to be in Charge of IRB

Part 4: Regulatory and Political Issues Tend to be IndivisibleChapter 15: Supervisory Authorities and their Regulatory Policies; Chapter 16: Contrarians to Basel II, CAD 3 and 2010 Challenges; Appendix: the Basel Committee on Banking Supervision and Basel II; Acknowledgments; Index

Notes:

Includes index.

ISBN:

9786611003371

9781281003379

1281003379

9780080472560

0080472567

OCLC:

469402352