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A Study On Internal Rating-Based Approach And Its Model Of New Basel Capital Accord

Posted on:2005-04-21Degree:MasterType:Thesis
Country:ChinaCandidate:R Y LiFull Text:PDF
GTID:2156360125962953Subject:Systems Engineering
Abstract/Summary:PDF Full Text Request
Recently, it have been indicated that current capital regular rules, which based on Basel Capital Accord of 1988, is not sensitive to credit risk. It can not effectively work today as more and more new finance tools appear. As the models of portfolio credit risk have improved, many large scaled banks and other financial institutions which have substantive credit exposures use models to instruct them to manage credit risk. But as a result of verities shortfalls of the models, they have not become the main body of regulation. In order to increase risk sensitivity of the current accord, The Basel Committee spent about five years improving the Basel Capital Accord.This thesis makes systemic study of the structure of models of credit risk, introduces the measurement of credit risk (expected loss, unexpected loss, risk contribution and so on), and calculation of economical capital and q-percentile of the loss distribution. Based on analysis of several main models, this thesis mainly study the foundation of IRB method in new Basel Accord, i.e. combining one factor model with model of portfolio credit risk. This thesis discusses that the asymptotic one-factor model have the necessary conditions which make it has the character of portfolio-invariant capital charges, and it give a method of VaR calculation that uses the loss distribution of systematic risk instead of the distribution of default loss. The internal rating-based approach is not only the best method for the current situation, it also indicate tends from rule regulation to model regulation. Under the condition of our outdated banking regulation and lots of bank can not reach the lowest capital require, embedded research of the new Basel capital accord has a significant academic and practical meaning for China to establish a method of bank regulation, combining with situation of our country. It also establishes a sound base for our regulation to approach new Basel Accord.
Keywords/Search Tags:one-factor model, capital require, portfolio-invariant, value at risk
PDF Full Text Request
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