Open AccessSurvey of credit risk models in relation to capital adequacy framework for financial institutions.
Author(s) -
Poomjai Nacaskul
Publication year - 2016
Publication title -
journal of governance and regulation
Language(s) - English
Resource type - Journals
eISSN - 2306-6784
pISSN - 2220-9352
DOI - 10.22495/jgr_v5_i4_p6
Subject(s) - risk adjusted return on capital , basel ii , credit risk , capital requirement , capital adequacy ratio , actuarial science , economic capital , economics , business , relation (database) , financial capital , finance , financial system , accounting , computer science , human capital , capital formation , microeconomics , database , incentive , profit (economics) , economic growth
This article (i) iterates what is meant by credit risks and the mathematical-statistical modelling thereof, (ii) elaborates the conceptual and technical links between credit risk modelling and capital adequacy framework for financial institutions, particularly as per the New Capital Accord (Basel II)’s Internal Ratings-Based (IRB) approach, (iii) proffer a simple and intuitive taxonomy on contemporary credit risk modelling methodologies, and (iv) discuses in some details a number of key models pertinent, in various stages of development, to various application areas in the banking and financial sector.