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.
|Number of pages||33|
|Journal||Contributions to Economics|
|Publication status||Published - 2003|