Available
THE CRITICISM OF BASEL II BASED ON CREDIT RISK MODELLING
(STEF92 Technology, 2014, L. CERNOHORSKA, J. CERNOHORSKY)
Show more
The aim of the paper is to critically evaluate the regulatory principles of Basel II, based on credit risk modelling. The paper is based on the definition of credit risk, default and necessary literature research dealing with the topic. The Internal Rating-Based (IRB) approach for calculating the capital requirement to cover losses from credit risk is evaluated. Within this calculation it deals with the right choice of parameters of probability of default and loss given default for the calculation of risk-weighted...



