Approaches to credit risk in the new Basel Capital Accord

Arne Benzin*, Stefan Trück, Svetlozar T. Rachev

*Corresponding author for this work

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

We discuss the main features of the new Basel Capital Accord (Basel II) concerning the regulatory measurement of Credit Risk. After an overview of the basic ideas in the new accord the determining aspects of the approaches to Credit risk in the new capital accord are surveyed: the standardized approach (STD) as well as the two forms of the internal rating based (IRB) approach - foundation and advanced. We describe the issues of the second consultative document of the new accord and describe how to measure the required capital. Further the fair comment on several features of Basel II and its possible changes in the final version of the accord are illustrated.

Original languageEnglish
Pages (from-to)1-33
Number of pages33
JournalContributions to Economics
Publication statusPublished - 2003
Externally publishedYes

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