Basel II Implementation: A Guide to Developing and Validating a Compliant, Internal Risk Rating System [With CDROM] (Hardcover)

Introduction
Chapter 1 Risk Ratings System Design
Overview
The Use of Credit Risk Assessment Templates in IRRS
The Use of Quantitative Models in IRRS
The Use of Hybrid Models in IRRS
The Use of Retail Models in IRRS
The Use of LGD Models in IRRS
The Choice of LGD Discount Rate
Discount Rate for Workout Recoveries: An Empirical Study
Conclusions
Chapter 2 Risk Ratings System Quantification
Overview
Risk Rating Philosophy
Long-run PD
Downturn LGD
Downturn EAD
Downturn LGD: A Case Study
Establishing a Master Scale
Stress Testing
EAD Estimation
Chapter 3 Validation of Internal Risk Rating System
Overview
Confirmation of the Conceptual Soundness and Initial Risk Quantification of the Design of the IRRS
Confirmation of Risk Rating System Operations
Annual Examination of the Overall Performance of the Risk Rating System
Validation of Mappings between Internal and External Risk Rating Systems
Annual Health Check
Governance
Conclusions
Chapter 4 Pillar II, Challenges, and Dealing with Procyclicality
Introduction
Background Definitions
Some Pillar II Implementation Issues
Capital Planning and Capital Adequacy Assessment Framework with Respect to Pillar II
Conclusions
Notes
Index
About the Authors