Economic Capital Allocation with Basel II

Dimitris N. Chorafas
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Dimitris N. Chorafas: CORPORATE CONSULTANT IN ENGINEERING AND MANAGEMENT, PARIS VISITING PROFESSOR, INFORMATION SCIENCE AND BUSINESS ADMINISTRATION, WASHINGTON STATE UNIVERSITY

in Elsevier Monographs from Elsevier, currently edited by Candice Janco

Abstract: This book is a complimentary follow-on book to Operational Risk Control with Basel II. While the previous book focuses on operational risk, Economic Capital Allocation provides an overview of credit risk within the context of the Basel II accords. The book provides: * comprehensive coverage of the evolution of the banking industry with Basel II in mind * extensive information on the capital requirements for bank liquidity and solvency * coverage of the new rules as laid down by the supervisory authorities of the Group of Ten industrialized nations * key information on the technical requirements for credit institutions such as: new credit rating scales, modeling of credit risk, control of operational risks, and, novel ways and means for the management of exposure to Credit Risk * Basel II accords must be implemented by 2006 and require 2 years preparation for proper implementation * Author at the forefront in the development of the Basel II Capital Adequacy Accord * Based on intensive research in the US, UK and continental Europe

Keywords: business units; credit risk strategy; solvency management; economic equity; risk management (search for similar items in EconPapers)
Date: 2004 Originally published 2004-02-09.
Edition: 1
ISBN: 978-0-7506-6182-9
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