Measuring Basel II Capital Requirement of Mortgage Loans
| Autor: | Hsiu-Jung Chou, 周秀蓉 |
|---|---|
| Rok vydání: | 2006 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 94 Since the release of New Basel Capital Accord in 2004, it’s urgent to establish a risk-based framework under Basel II and realize the process of measuring the economic capital for mortgage loans now. This article connects the probability of default (PD) and loss given default (LGD) of residential mortgages under Basel II after 2004. We measure PD with multinomial logit regression model, given the LGD assumption, to assess economic capital to cover credit risk on a portfolio of residential mortgages. Our results suggest that traditional minimum capital adequacy generally is not accurate enough for banks with risk managed portfolios. Tying regulatory capital requirements more closely to economic risks for mortgage assets would likely increase incentives for such institutions to engage in internal risk management. Contributions to help establish appropriate loss reserves, build a complete process to compare capital requirement with different LGD, and support advice for credit risk management for mortgage loans. Key words: Mortgage, Basel II, Capital Requirement |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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