Credit Risk Quantitative Evaluation in the Basel II Perspective
The element of absolute novelty brought about by the « Basel II » agreement consists in the multiple approaches that can be used by banks when calculating the capital requirements for loan and operational risk. By implementing the solutions offered by “Basel II”, the Romanian loan-supplying institut...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2006-05-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/93.pdf
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| Summary: | The element of absolute novelty brought about by the « Basel II » agreement consists in the
multiple approaches that can be used by banks when calculating the capital requirements for loan and
operational risk. By implementing the solutions offered by “Basel II”, the Romanian loan-supplying
institutions which will choose either the standard approach or the advanced one will be able to use the
ratings provided by an external loan evaluation agency that will be set up for this particular purpose.
In order to develop such an entity, it is essential to create a rating system based on quantitative
analysis that will enable a correct assessment of the probability of non-payment according to the
“Basel II” requirements.
The tests performed on the models used in the present research study have pointed out the fact that
the loan risk quantitative assessment and the setting up of an organization specialized in its external
assessment in Romania are both necessary and possible. Taking these opportunities is however conditioned
by the creation of an information system that may secure the periodical influx of valid and
sufficient data for the adequate methodological calibers, under conditions of autonomy and transparency. |
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| ISSN: | 1841-8678 1844-0029 |