One Factor Risk Model and Capital Requirements for Credit Risk in the New Capital Accord

Adam Frok
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Adam Frok: Cracow University of Economics, Poland

Chapter 15 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 5, pp 227-240 from University of Lodz

Abstract: In the last Chapter 15 A. Frok presents Internal Ratings-Based Approach developed by Basel Committee to determine capital requirements of commercial banks in Poland.

Keywords: One factor risk model; Capital requirements for credit risk; Internal ratings-based approach (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2007
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