The Internal Capital Adequacy Assessment Process ICAAP – a New Challenge for the Romanian Banking System

Arion Negrila
Additional contact information
Arion Negrila: The Bucharest Academy of Economic Studies

Theoretical and Applied Economics, 2009, vol. 04(533), issue 04(533), 35-56

Abstract: In the near future, Romanian banks will have to implement the second pillar of the Basel II (ICAAP) Agreement. Given this new challenge (in addition to the ongoing economic and financial crisis), my article analyzes and presents both the main requirements of the process, in compliance with the NBR regulation draft, as well as some of the principles and methods used by advanced banks. Thus, I’ve analyzed some of the methods for the assessment of economic capital requirements for credit, market and operational risks (while also explaining the difference between economic capital and regulatory capital), based on the theory of unexpected losses, sustained by case studies.

Keywords: risks; economic capital; unexpected loss; default; Value-at-Risk. (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
http://store.ectap.ro/articole/380.pdf (application/pdf)
http://www.ectap.ro/articol.php?id=380&rid=48 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:04(533):y:2009:i:04(533):p:35-56

Access Statistics for this article

Theoretical and Applied Economics is currently edited by Mircea Dinu

More articles in Theoretical and Applied Economics from Asociatia Generala a Economistilor din Romania / Editura Economica Contact information at EDIRC.
Bibliographic data for series maintained by Mircea Dinu ().