Theoretical and Applied Economics
No. 3 / 2012 (568)
Credit Risk Assessment under Basel Accords
Bucharest Academy of Economic Studies
Abstract. Credit risk represents one of the most critical risks associated with the banking sector, having a direct impact on the banking institutions’ overall performance. As of today, such institutions can access a wide range of methods and systems for assessing credit risk, with direct impact on their capital adequacy ratios. Approaches based on internal rating models, as introduced by Basel II, allow banks to utilize their own methods to quantify credit risk, essential to the risk-weighting of their assets and therefore to the measuring of the capital requirements.
This paper addresses a potential scoring model in order to quantify the default probability, based on quantitative information and forecasting of potential default scenarios. Qualitative variables have also been considered in order to generate higher prediction accuracy.
Contents
Inflation Game Redistributions and Economic Crisis Path
Estimation of the Mechanisms for Automatic Fiscal Stabilization. The Romanian Case
Impact of the Financial Crisis on the Romanian Capital Market in the European Context
Current Research on Flexibilizing the Labor Market – second part –
The Indian Stock Market and the Great Recession
Credit Risk Assessment under Basel Accords
An Analysis of Current Labor Market Developments and Structures in European Union – in Correlation with Labor Market Flexicurity Requirements
“Underground” Economy Nature – Conceptual Status
The Analysis of the Representativeness of Results Obtained after Applying the Method of Job Evaluation through Tasks
Implications of Educational Attainment on Labour Market