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The New Basel Capital Accord
Holtorf, Claudia; Muck, Matthias; Rudolf, Markus (2005): „The New Basel Capital Accord“. 2. Aufl. Berlin [u.a.]: Springer doi: 10.1007/3-540-26993-2_4.
Faculty/Professorship:
Author:
Title of the compilation:
Risk management : challenge and opportunity ; with 125 tables
Publisher Information:
Year of publication:
2005
Pages:
Edition:
2
ISBN:
978-3-540-22682-6
978-3-540-26993-9
Language:
English
Abstract:
This paper addresses the capital requirements based on the RiskMetrics™ framework and the BIS standard model. A case study is developed which shows that the capital requirements can be reduced by applying the more accurate RiskMetrics™ framework. Furthermore it gives an overview of the capital requirement rules for credit risk and operational risk in the Basel II Accord.
Keywords: ; ; ; ;
Capital Requirements
Value at Risk
BIS Standard Model
Basel II
Credit Risk
Type:
Contribution to an Articlecollection
published:
October 28, 2013
Permalink
https://fis.uni-bamberg.de/handle/uniba/585