Loss given default (LGD)
Gaining an edge from Basel
The recent recommendations of the Basel Committee are set to usher in a period of upheaval for many participants in the banking sector. Standard & Poor’s Anthony Albert looks at how to gain a competitive advantage in credit risk management in the light…
Banking on progress
A dizzying array of credit risk technology firms have set up shop in Asia in order to reap the rewards of the new Basel recommendations. But are Asia’s regional banks ready to implement these systems?
Basel inflicts collateral damage
The current Basel proposals could lead to the global spread of the type of systemic loan loss problems Japan is now experiencing, argues John Frye of the Federal Reserve Bank of Chicago.
Probing granularity
The granularity adjustment, which adjusts risk weightings for credit portfolio diversification, is one of Basel II’s key modelling assumptions. Here, Tom Wilde uncovers a weakness in this assumption arising from the differences in the underlying credit…
Basel bonds Canada
The largest Canadian banks have banded together to share default data, making it much more likely they will all qualify for the most advantageous regulatory capital approach under the Basel II capital Accord.
Why Basel must brush-up on credit
Paul Kupiec of the International Monetary Fund argues that unresolved calibration problems remain with the new Basel Accord’s credit risk capital requirements – problems that may lead banks to make damaging risk decisions.
Weighting for Risk
Basel has recognised that collateral and seniority give banks an advantage when an obligor defaults. Here, Jon Frye argues that the proposal may encourage banks to lend on the collateral – a practice that could threaten their own survival – and proposes…
Basel's new credit model
The Basel Committee’s new consultative paper allows banks to internally rate individual credits. But at the portfolio level, Basel wants to apply a single model framework, based in part on a technical paper published in Risk magazine in October 1998.
Five reasons why regulators should approve the loss-distribution approach
The Basel Committee shied away from the most risk-sensitive way of calculating an op risk charge, says Michael Haubenstock. He argues for a green light.