Global ETD Search
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Showing 1 to 20 of 32 for “"Basel II"”.
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The impact of Basel II reforms : a contraction in SME lending
The implementation of Basel II reforms has been designed to protect the international financial system from major bank collapses through the enforcement of minimum capital adequacy ratios. This new set of rules has raised concerns of triggering changes in institutions' business models leading to …
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Split credit ratings and the prediction of bank ratings in the Basel II environment
… of credit risk measurement in the context of Basel 11: The International Convergence of Capital Measurement and Capital Standards. The first is the problem arising when two credit rating agencies disagree over the rating assigned to an issuer and a split rating arises. The second area is the …
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The impact of the change from Basel II to Basel III on the profitability of the South African banking sector
… is to analyse the impact of the change from Basel II to Basel III on the profitability of the South African banking sector. South African banks are regulated in accordance with the Basel Accords and, as such, this study reviews the literature on bank regulation and specifically the evolution …
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The effect of Basel II on SME financing in Germany. An exploratory study of the impact of the new Basel Accord on SMES and financiers in Germany
The New Capital Accord (henceforth, Basel II), is expected to impose dramatic changes on banks and other providers of corporate financing, as well as companies. Literature indicates that small and medium sized enterprises (henceforth SMEs), in general, and in particular German SMEs seem to be …
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Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss
… for impairment disclosure as well as Basel II regulatory prescriptions for capital requirements. The thesis presents a critique of the unexpected loss calculation under Basel II by considering the different ways in which loans can correlate within a portfolio. Two distributions of …
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Innra mat á eiginfjárþörf : alþjóðlegar reglur um eiginfjárhlutfall fjármálafyrirtækja
… með aðferðum sem fylgja annarri stoðinni í Basel II staðli. Basel II byggir á þremur stoðum og lýtur sú fyrsta að samræmdum reglum um mat á lágmarks eiginfjárþörf fjármálafyrirtækja, en þar er áhættuþáttum skipt í útlánaáhættu, markaðsáhættu og rekstraráhættu. Önnur stoðin gerir ráð fyrir …
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Banks, credit and culture. Cross border lending and credit ratings, their effectiveness and the impact of cultural differences.
… improve the understanding of their clients. The Basel committee which published the new Basel II framework on bank regulation and supervision was the result of long and careful discussions, wide consultations and comprehensive impact studies. Whereas Basel II covers the entire risk profile and …
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A Treatise of PD-LGD Correlation Modelling
The provision in Paragraph 468 of Basel II Framework Document for calculating loss given default (LGD) requires that parameters used in Pillar I of Basel II capital estimations must be reflective of economic downturn conditions so that relevant risks are accounted for. This provision is based on …
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The evaluation of the impact of risk disclosure and bank-level stability: an empirical study of European and US banks
… risk disclosure following the implementation of Basel II pillar III on bank-level stability; the response of banks’ level of risk disclosure to the enforcement actions taken by regulators; the association between risk disclosure and bank managers’ risk-shifting activity (cash transfer); and, …
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Stochastic modelling in bank management and optimization of bank asset allocation
The Basel Committee published its proposals for a revised capital adequacy framework(the Basel II Capital Accord) in June 2006. One of the main objectives of this framework is to improve the incentives for state-of-the-art risk management in banking, especially in the area of credit risk in view of …
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Úttekt á helstu áhættuþáttum hjá Marel hf.
… á lágmarks eiginfjárþörf samkvæmt alþjóðlegu Basel II reglunum. Innra matsferli Basel II reglnanna nefnist ICAAP og er tilgangur þess að draga fram helstu áhættur í rekstri, meta umfang þeirra og stærðargráður og meta hvernig hægt er að mæta þessum áhættum án þess að setja rekstrarhæfni …
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Risikoteilung zwischen Banken und Kapitalmarkt
… gemäß der aufsichtsrechtlichen Vorschriften Basel I und Basel II, als risikotechnische Bewertungsansätze von Securitisations, dargestellt. Schließlich erfolgt eine Betrachtung der Moral Hazard induzierten Konflikte, die in der gegenwärtigen Nutzung von Securitisations existieren sowie der …
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Le novità di Basilea III e le implicazioni per le banche italiane
Basel III rules have been under a review process in the last years and the recent international crises has further slowed down the implementation of the new banking regulation. In this paper, we first present the reasons that have brought to the Basel III framework – development of the previous …
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Essays on financial frictions with an application to the Chinese economy
… capital requirement, and discusses the role of Basel II in reinforcing procyclical tendencies of the credit market and the real economy. I study impulse responses of the calibrated model to various shocks. Quantitative results show that the direction and magnitude of cyclical effects arising …
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Essays on Macroeconomic Dynamics, Credit Intermediation and Financial Stability
… Finally, we compare the model economy with Basel I and Basel II capital requirement and find that business cycle fluctuations are amplified under Basel II regime. Furthermore, in response to a negative productivity shock there is a transfer of loans from on to off balance sheet under Basel …
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Modelling examples of loss given default and probability of default
The Basel II accord regulates risk and capital management requirements to ensure that a bank holds enough capital proportional to the exposed risk of its lending practices. Under the advanced internal ratings based (IRB) approach, Basel II allows banks to develop their own empirical models based on …
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Bank Capital Management
… Focusing on bank capital management under the Basel I framework, this thesis serves to address some of the con- cerns that have been voiced regarding the implementation of the new regulation (Basel II) and the broader economic e®ects that could result. In particular, the research chapters of …
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Robust optimization for portfolio risk : a ravisit of worst-case risk management procedures after Basel III award.
… with the regulatory requirements stated in Basel II and CRD regulations.
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The Effect of Operational Control Quality on Operational Efficiency and Cost of Capital: Evidence from U.S. Bank Holding Companies
… practices since the early 2000s. This led the Basel II Accord to recognize operational risk as a separate risk. In this study, I examine whether operational control quality is associated with operational efficiency and the costs of debt and equity capital for a large sample of U.S. bank holding …
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Modelling of asset allocation in banking using the mean-variance approach
… is of the mean- variance type. We assume the Basel II regulations on banking supervision. In this contribution, the bank funds are invested into loans and treasuries with the main objective being to obtain an optimal return on the bank asset port- folio given a certain risk level. There are …
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