دانلود مقاله ISI انگلیسی شماره 50055
ترجمه فارسی عنوان مقاله

علامت گذاری برای مدل های اعتباری و ریسک عملیاتی با تعهدات وام: بازل-2 رویکرد داخلی بر اساس رتبه بندی پیشرفته

عنوان انگلیسی
Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach ☆
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
50055 2009 11 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Review of Financial Analysis, Volume 18, Issue 5, December 2009, Pages 260–270

ترجمه کلمات کلیدی
مدل ساده شده - تنزل رتبه اعتباری خطر - توقف خطر تعهد پیش فرض
کلمات کلیدی انگلیسی
G13; G21Constrained Gram–Charlier put; Forward funding proportion; Marking to model versus Basel-2 simplified approach; Credit-risk downgrades; Hedging commitment default risk
پیش نمایش مقاله
پیش نمایش مقاله  علامت گذاری برای مدل های اعتباری و ریسک عملیاتی با تعهدات وام: بازل-2 رویکرد داخلی بر اساس رتبه بندی پیشرفته

چکیده انگلیسی

Within a marking-to-model framework, this research computes the bank's capital charge for credit and operational risks of loan commitments at Basel-2 fixed audit date. This is done in three steps. The first one prices commitment credit risk as a Gram–Charlier put value and determines the commitment forward-funding proportion. In the second one, put value and funding proportion are combined to compute Basel-2 ‘fair’ capital charge for credit and operational risks. By producing a moderate total capital charge, marking-to-model offers substantial capital relief with respect to the corresponding charge computed with Basel-2 simplified approach. Both charges are however larger than the corresponding nil charge arrived at in Basel-1. In the third step, marking-to-model reveals its flexibility by showing how banks can determine the cost of their exposure to borrowers' credit-rating downgrades and how they can also hedge any exposure to commitment default risk.