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The internal ratings based approach (IRB) of the Basel Committee has three problems: few incentives for banks to adopt the IRB approach, a complicated technical framework and very conservative aggregation rules. We suggest the following remedies: First, we suggest a new design of transition rules that produce strong incentives for banks to adopt the IRB approach. Second, we outline a lean IRB approach which is simpler and avoids adjustments and caps that are difficult to justify. This approach can be flexibly calibrated to proxy any IRB approach. Third, we suggest a simple aggregation rule for capital requirements across portfolio segments that takes the diversification effect across segments into account.
8924 Downloads29.12.2005
Datei downloaden Der Artikel liefert eine Herleitung der Formeln für die Risikogewichte in den Baseler Konsultationsdokumenten und zeigt Wege auf, wie die Verfahren vereinfacht und an typische Risikoprofile von Kreditportfolien angepasst werden können. Zur Illustration werden die Ergebnisse auf echte Portfolien angewendet.
12268 Downloads29.12.2005
Datei downloaden One of the main components of the credit risk management of individual clients is the correct risk and cost adjusted pricing of financial products on the background of a financial institution's profitability targets. The article derives pricing formulas for fixed rate bonds, i.e. for zero bonds, straight bonds, and amortizing bonds, and for European options that consider the exact cash flow structure of the products and integrate refinance costs, costs of risk, costs of equity and production expenses. Finally, we show how the results can be integrated in a bank's internal funds transfer pricing methodology.
8971 Downloads29.12.2005
Datei downloaden ESG risks and opportunities are highly relevant as causes and drivers for positive or negative scenarios with a significant impact on a company's reputation or intangible assets. The following article deals with the relevance and assessment of ESG risks in practice. Special emphasis is placed on explaining the importance of stochastic simulation methods that enable a quantitative assessment of complex systems, such as environmental systems or social systems.
5082 Downloads
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