From Basel 1 to Basel 3: The Integration of State-Of-The-Art Risk Modeling in Banking Regulation

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August 2006



The proposed rules are presented and key issues regarding implementation of the accord identified. The model used to calibrate the capital requirements under Basel 2 is analyzed and projected forward to present what could be key new elements in the future Basel 3 regulation. A CD-ROM is included to illustrate regulator models.


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


LAURENT BALTHAZAR is Head of Economic & Regulatory Capital at Dexia Bank. He has been responsible for the development of scoring models and of the RAROC methodology. He is also involved in the implementation of the Basel 2 project and of the economic capital framework. He is a frequent speaker at conferences and delivered trainings on Basel 2 in Eastern Europe countries.
EAN: 9781403948885
ISBN: 1403948887
Untertitel: Sprache: Englisch.
Erscheinungsdatum: August 2006
Seitenanzahl: 294 Seiten
Format: gebunden
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