From Basel 1 to Basel 3: The Integration of State of the Art Risk Modelling in Banking Regulation
Author:   L. Balthazar
Publisher:   Palgrave USA
Edition:   2006 ed.
ISBN:  

9781403948885


Pages:   294
Publication Date:   31 August 2006
Format:   Hardback
Availability:   Out of stock   Availability explained
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From Basel 1 to Basel 3: The Integration of State of the Art Risk Modelling in Banking Regulation


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Author:   L. Balthazar
Publisher:   Palgrave USA
Imprint:   Palgrave Macmillan
Edition:   2006 ed.
Dimensions:   Width: 15.20cm , Height: 2.20cm , Length: 22.90cm
Weight:   0.603kg
ISBN:  

9781403948885


ISBN 10:   1403948887
Pages:   294
Publication Date:   31 August 2006
Audience:   College/higher education ,  Professional and scholarly ,  Tertiary & Higher Education ,  Undergraduate
Format:   Hardback
Publisher's Status:   Active
Availability:   Out of stock   Availability explained
The supplier is temporarily out of stock of this item. It will be ordered for you on backorder and shipped when it becomes available.

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

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Author Information

LAURENT BALTHAZAR is a Bank Credit Analyst at Dexia Bank. He has been responsible for development of a credit risk portfolio model for computing total economic capital and its allocation to business lines. Previously, he has worked on development of RAROC Models for the banking group and was in charge of following Basel 2 new regulation and defining its impact on the bank. He is a frequent speaker at conferences on Basel 2.

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