Credit Risk Assessment under Basel Accords

Autor:	Oana Miruna DĂNILĂ
Jazyk:	angličtina
Rok vydání:	2012
Předmět:	scoring model default probability logit model qualitative variables credit risk Business HF5001-6182 Economic theory. Demography HB1-3840 Economics as a science HB71-74
Zdroj:	Theoretical and Applied Economics, Vol XIX, Iss 3, Pp 77-90 (2012)
Druh dokumentu:	article
ISSN:	1841-8678 1844-0029
Popis:	Credit risk represents one of the most critical risks associated with the banking sector, having a direct impact on the banking institutions’ overall performance. As of today, such institutions can access a wide range of methods and systems for assessing credit risk, with direct impact on their capital adequacy ratios. Approaches based on internal rating models, as introduced by Basel II, allow banks to utilize their own methods to quantify credit risk, essential to the risk-weighting of their assets and therefore to the measuring of the capital requirements. This paper addresses a potential scoring model in order to quantify the default probability, based on quantitative information and forecasting of potential default scenarios. Qualitative variables have also been considered in order to generate higher prediction accuracy.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/7980868da854457b9add9b7c70f57840 Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF