Credit Risk Measurement in the Context of Basel II

Martin Hibbeln ()
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Martin Hibbeln: Technische Universität Braunschweig

Chapter Chapter 2 in Risk Management in Credit Portfolios, 2010, pp 5-56 from Springer

Abstract: Abstract In Chap. 2 , the fundamentals of credit risk measurement and the quantitative framework of Basel II are presented. At first, the need of banking regulation in general, the development of banking supervision, as well as the concept of Basel II is presented briefly. Furthermore, the risk measures VaR and ES are introduced, which are the most common characteristic numbers for measuring risk in credit portfolios. In this context, the emphasis is put on the (non-)coherency and estimation issues. Then, the asset value model of Merton (J Fin 29(2):449–470, 1974), the one-factor model of Vasicek (Probability of Loss on Loan Portfolio. KMV Corporation, San Francisco), and the ASRF model of Gordy (J Fin Intermed 12(3):199–232, 2003) are presented. These models build the fundament of the IRB Approach of Basel II, which is explained subsequently.

Keywords: Risk Measure; Credit Risk; Coherent Risk Measure; Expected Shortfall; Credit Portfolio (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:conchp:978-3-7908-2607-4_2

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DOI: 10.1007/978-3-7908-2607-4_2

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