In recent years considerable progress has been observed in the development of credit risk
models. The Revised Framework on International Convergence of Capital Measurement …

It is evident that the definition of expected credit losses (ECL) diverges between International
Financial Reporting Standard 9 (IFRS 9)(the accounting model recently adopted by …

In the last decade the banking industry has experienced a significant development in the
understanding of credit risk. Refined methods were proposed concerning the estimation of …

Abstract The Basel Internal-Ratings-Based (IRB) approach allows banks to use sufficiently
good credit risk models for the daily computation of their capital adequacy ratio. However …

The paper is motivated by a disturbing observation according to which the outcome of the
regulatory formula significantly depends on the definition of default used to measure the …

According to the new capital adequacy framework (Basel II) finally adopted by the Basel
Committee on Banking Supervision in June 2004 the eligible regulatory capital amounts to …

In the last decade, portfolio credit risk measurement has improved significantly. The current
state-of-the-art models analyze the value of the portfolio at a certain risk horizon, eg one …

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This paper, inspired by the efforts of a Canadian bank, discusses Basel preparation and
validation issues. A comprehensive outcomes analysis (eg back-testing) framework is …

Abstract The Internal Ratings Based (IRB) approach for capital determination is one of the
cornerstones in the proposed revision of the Basel Committee rules for bank regulation. We …