Internal models (IRB) in Basel II: an approach to determining the probability of default

The New Accord of Basel, known as Basel II, opens the way for and encourages the implementation of credit entities' own models for measuring their financial risks. In this paper, we focus on the internal models for the assessment of credit risk (IRB), and specifically on the approach to one of...

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Authors: Samaniego Medina, Reyes, Oliver Alfonso, María Dolores, Vázquez Cueto, María José
Format: article
Status:Published version
Publication Date:2010
Country:España
Institution:Universidad de Sevilla (US)
Repository:idUS. Depósito de Investigación de la Universidad de Sevilla
OAI Identifier:oai:idus.us.es:11441/80857
Online Access:https://hdl.handle.net/11441/80857
Access Level:Open access
Keyword:Credit risk
Basel II
Probability of default
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spelling Internal models (IRB) in Basel II: an approach to determining the probability of defaultSamaniego Medina, ReyesOliver Alfonso, María DoloresVázquez Cueto, María JoséCredit riskBasel IIProbability of defaultThe New Accord of Basel, known as Basel II, opens the way for and encourages the implementation of credit entities' own models for measuring their financial risks. In this paper, we focus on the internal models for the assessment of credit risk (IRB), and specifically on the approach to one of their components: the probability of default (PD). Our paper is structured in three sections. In the first section, we present the most significant aspects of the credit risk treatment in Basel II. In the second part, the available financial literature is reviewed. And finally, we undertake an empirical application with the object of determining what is or are the variables that are able to explain why a company defaults. Furthermore, this would serve as a preventive "warning system" for financial entities.Economía Aplicada IIIEconomía Financiera y Dirección de Operaciones2010info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdfhttps://hdl.handle.net/11441/80857reponame:idUS. Depósito de Investigación de la Universidad de Sevillainstname:Universidad de Sevilla (US)InglésBanks and Bank Systems, 5 (2), 222-229.https://www.researchgate.net/profile/Maria_Dolores_Alfonso/publication/299483008_Internal_models_IRB_in_Basle_II_an_approach_to_determining_the_probability_of_default/links/5700fce108aee995dde8bcd1/Internal-models-IRB-in-Basle-II-an-approach-to-determining-the-probability-of-default.pdf?origin=publication_detailinfo:eu-repo/semantics/openAccessoai:idus.us.es:11441/808572026-06-17T12:51:07Z
dc.title.none.fl_str_mv Internal models (IRB) in Basel II: an approach to determining the probability of default
title Internal models (IRB) in Basel II: an approach to determining the probability of default
spellingShingle Internal models (IRB) in Basel II: an approach to determining the probability of default
Samaniego Medina, Reyes
Credit risk
Basel II
Probability of default
title_short Internal models (IRB) in Basel II: an approach to determining the probability of default
title_full Internal models (IRB) in Basel II: an approach to determining the probability of default
title_fullStr Internal models (IRB) in Basel II: an approach to determining the probability of default
title_full_unstemmed Internal models (IRB) in Basel II: an approach to determining the probability of default
title_sort Internal models (IRB) in Basel II: an approach to determining the probability of default
dc.creator.none.fl_str_mv Samaniego Medina, Reyes
Oliver Alfonso, María Dolores
Vázquez Cueto, María José
author Samaniego Medina, Reyes
author_facet Samaniego Medina, Reyes
Oliver Alfonso, María Dolores
Vázquez Cueto, María José
author_role author
author2 Oliver Alfonso, María Dolores
Vázquez Cueto, María José
author2_role author
author
dc.contributor.none.fl_str_mv Economía Aplicada III
Economía Financiera y Dirección de Operaciones
dc.subject.none.fl_str_mv Credit risk
Basel II
Probability of default
topic Credit risk
Basel II
Probability of default
description The New Accord of Basel, known as Basel II, opens the way for and encourages the implementation of credit entities' own models for measuring their financial risks. In this paper, we focus on the internal models for the assessment of credit risk (IRB), and specifically on the approach to one of their components: the probability of default (PD). Our paper is structured in three sections. In the first section, we present the most significant aspects of the credit risk treatment in Basel II. In the second part, the available financial literature is reviewed. And finally, we undertake an empirical application with the object of determining what is or are the variables that are able to explain why a company defaults. Furthermore, this would serve as a preventive "warning system" for financial entities.
publishDate 2010
dc.date.none.fl_str_mv 2010
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/11441/80857
url https://hdl.handle.net/11441/80857
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Banks and Bank Systems, 5 (2), 222-229.
https://www.researchgate.net/profile/Maria_Dolores_Alfonso/publication/299483008_Internal_models_IRB_in_Basle_II_an_approach_to_determining_the_probability_of_default/links/5700fce108aee995dde8bcd1/Internal-models-IRB-in-Basle-II-an-approach-to-determining-the-probability-of-default.pdf?origin=publication_detail
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.source.none.fl_str_mv reponame:idUS. Depósito de Investigación de la Universidad de Sevilla
instname:Universidad de Sevilla (US)
instname_str Universidad de Sevilla (US)
reponame_str idUS. Depósito de Investigación de la Universidad de Sevilla
collection idUS. Depósito de Investigación de la Universidad de Sevilla
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.228081

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