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Economic Capital Allocation With Basel II : Cost, Benefit and Implementation Procedures - Dr Dimitris Chorafas

Economic Capital Allocation With Basel II

Cost, Benefit and Implementation Procedures

Hardcover Published: 1st March 2004
ISBN: 9780750661829
Number Of Pages: 448

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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 technical requirements for credit institutions such as: new credit rating scales, modeling of credit risk, control of operational risks, and, novel ways and means for the management of exposure to Credit Risk
* Basel II accords must be implemented by 2006 and require 2 years preparation for proper implementation
* Author at the forefront in the development of the Basel II Capital Adequacy Accord
* Based on intensive research in the US, UK and continental Europe

...not only provides a good introduction to the regulatory background, but also shows how economic capital and regulatory capital are concepts that should co-exist and gives good explanations to the background of each. One of the Top Ten financial engineering titles published in 2003-2004 - Richard Norgate, Ph.D., Financial Engineering News

Basel II, Impact Studies, and cost of implementation
Benefits from Basel II: Risk-based pricing and rating targets
Regulatory Capital Defined
Market discipline and its global impact
The allocation of business capital to business units: Economic capital defined
Economic capital and solvency management
Economic capital allocation: practical applications and theoretical background
Evolving rules and procedures for economic capital allocation
Strategies used by banks to increase their capital base
Defaults, internal ratings and technological solutions: Default defined
IRB, technological infrastructure, models and correlations
Internal ratings, supervisory weights and collateral
Software which can help in IRB implementation
How to be in charge of IRB; Regulatory and political issues tend to be indivisable: Supervisory authorities and their regulatory policies
Supervisory authorities and their regulatory policies
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780750661829
ISBN-10: 0750661828
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 448
Published: 1st March 2004
Publisher: Elsevier Science & Technology
Country of Publication: GB
Dimensions (cm): 23.4 x 16.5  x 3.18
Weight (kg): 0.87