The Implementation of the Basel II Default Definition by Credit Risk Assessment Systems

Markus Bingmer and Laura Auria

Chapter 4 in Global Credit Review:Volume 3, 2014, pp 43-55 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included: IntroductionThe Task of Aggregating Different Default ReportsA Theoretical Analysis of the Aggregation TaskAn Empirical Analysis of Aggregation with the Materiality ThresholdConclusionNotesReferences

Keywords: Systemic Risk; Marginal Expected Shortfall; Multi-Factor Model; Volatility; Correlation; Regulations; Credit-Rating Alternatives; Recommendations; Lawsuits; Sovereign Ratings; Non-Performing Loans; Reserve Requirements; Monetary Policy; China; Banks; Asset Quality; Central Bank; Bank Regulation; Window Guidance; Basel II Default Definition; Materiality; Probability of Default; Aggregation of Default Information; Credit Scoring; Micro-Credit Default Risk; Logistic Regression; Tunisian Microfinance Bank; Credit Portfolio Management; Funding Liquidity Management; Asset and Liability Management; Capital; Liquidity; Liquidity Coverage Ratio (search for similar items in EconPapers)
Date: 2014
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