By MICHAEL, K ONG
This paintings presents a realistic, available step by step research of the speculation and practicalities of credits threat dimension and administration. subject matters lined comprise: default possibilities; anticipated and unforeseen losses; time results; default correlations; and loss distributions.
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Additional info for Internal Credit Risk Models: Capital Allocation and Performance Measurement
Restrict certain other activities Tier 1 Leverage Tier 1 >10 >6 >5 >8 >4 >4 <8 <4 <4 <6 <3 <3 <2 *Not required if the primary supervisor determines that action would not serve the purpose of prompt corrective action or if certain other conditions are met. Source: Board of Governors of the Federal Reserve System. page_34 Page 35 Appendix B Regulatory Capital Rules The regulatory capital rules have two major components: the 1988 Basle Capital Accord itself; and the 1996 Amendment to incorporate market risk.
4, we shall account for trading products differently. 3 shows the CCF for non-trading-related off-balance sheet item exposures. The calculation of capital adequacy for these is a twostep process: ◊ Step 1 The "credit-equivalent amount" of an OBSI is determined page_37 Page 38 by multiplying the notional amount by a credit conversion factor (CCF). ◊ Step 2 The credit-equivalent amount is then treated as an on-balance sheet item and risk-weighted according to its risk category classification. The resulting risk-weighted asset is finally multiplied by the minimum capital ratio requirement.
Increasingly over the past four years, securitisation programmes have been actively pursued by major international banks with the page_24 Page 25 primary goal of seeking capital relief. The crux of this regulatory capital arbitrage lies in risk-based capital guidelines that often place a significantly higher risk weight on loans than on securities. This means that a bank can frequently lower its regulatory capital requirements by buying securitised assets rather than whole loans or by securitising whole loans instead of accumulating them in its balance sheet.