Credit risk measurement under Basel II : an overview and implementation issues for developing countries (English)

The objective of this paper is to provide an overview of the changes in the calculation of minimum regulatory capital requirements for credit risk that have been drafted by the Basel Committee on Banking Supervision (Basel II). Even though the revised credit capital rules represent a dramatic change compared to Basel I, it is shown that Basel II merely seeks to codify (albeit incompletely) existing good practices in bank risk measurement. However...

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Author

Mendoza,Juan Carlos;

Stephanou,Constantinos;
Document Date
2005/04/01
Document Type
Policy Research Working Paper
Report Number
WPS3556
Volume No
1
Total Volume(s)
1
Country
World,
Region
Other,
Disclosure Date
2010/07/01
Disclosure Status
Disclosed
Doc Name
Credit risk measurement under Basel II : an overview and implementation issues for developing countries
Keywords
Risk Adjusted Return on Capital

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Citation

Mendoza,Juan Carlos; Stephanou,Constantinos.

Credit risk measurement under Basel II : an overview and implementation issues for developing countries (English). Policy, research working paper ; no. WPS 3556 Washington, DC: World Bank. http://documents.worldbank.org/curated/en/431871468330983467

Credit risk measurement under Basel II : an overview and implementation issues for developing countries (English)

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