Granularity adjustment for basel ii
WebJan 1, 2013 · The reduced value is reflected within a granularity adjustment. A handy way to determine the granularity adjustment was provided by Gordy and Lütkebohmert in a discussion paper Footnote 1 written for the Deutsche Bundesbank. The following adjustments are suggested therein (Table 10.1). WebThe supervisory review process (Pillar 2) of the new Basel framework offers a potential venue for application of the proposed granularity adjustment (GA). Our GA is a revision …
Granularity adjustment for basel ii
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WebGranularity Adjustment for Basel Ii. Michael B. Gordy, E. Lütkebohmert. Published in SSRN Electronic Journal 2007. Economics. The credit value-at-risk model underpinning the Basel II Internal Ratings-Based approach assumes that idiosyncratic risk has been … Webelaborated on an adjustment for imperfect portfolio granularity which had been proposed as part of an earlier version of Basel II. The revised method incorporates analytical …
Webthe granularity adjustment is a coherent risk measure and how to allocate the add-on to exposures in order to optimize the credit portfolio. Finally, the discussed models are … Webmodels based on a well-calibrated mapping between a bank’s HHI and the granularity adjustment. The rest of this paper is organized as follows. In Section II we discuss the treatment of the concentration risk in Basel II and Basel III, and the proposed quantitative methods for calculating capital charges for concentration risk.
WebFeb 22, 2011 · ABSTRACT. Within the internal ratings-based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversified away. The impact of undiversified idiosyncratic risk on portfolio value-at-risk can be quantified using a … WebGranularity adjustment for Basel II. Eva Lütkebohmert and Michael Gordy () . No 2007,01, Discussion Paper Series 2: Banking and Financial Studies from Deutsche Bundesbank …
WebA granularity adjustment that incorporates name concentration in the Internal Rating model was already included in the Second Consultative Paper of Basel II and was later significantly refined by the work of Gordy …
Webity adjustment. In this paper, we propose and empirically evaluate a granularity adjustment (GA) suitable for application by banks sub-ject to IRB capital requirements … small wooden game piecesWebThe supervisory review process (Pillar 2) of the new Basel framework offers a potential venue for application of the proposed granularity adjustment (GA). Our GA is a revision … hikvision ssh device busyWebGranularity Adjustment for Basel II. Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank. has been cited by the following article: TITLE: Credit Name Concentration Risk: Granularity Adjustment Approximation. AUTHORS: Badreddine Slime. KEYWORDS: Credit Risk, ... small wooden garden coffee tableWebT1 - Treatment of double default effects within the granularity adjustment for Basel II. AU - Ebert, S. AU - Lütkebohmert, E. PY - 2011. Y1 - 2011. N2 - Within the Internal Ratings … hikvision ssd health checkWebJul 1, 2012 · Section snippets Granularity adjustment. For clarity in exposition, we first consider risk-measurement for a portfolio of n homogeneous positions. We wish to model the portfolio loss rate, L ∼, at a fixed horizon t = H with current time normalized to t = 0. Let L i denote the loss at the horizon on position i (expressed as a percentage of current … hikvision ssd serial number checkWebJan 1, 2010 · But as the Basel II formulas have been calibrated on well-diversified portfolios with low name and low sector concentrations, it is indeed possible that banks should have an additional capital buffer to capture concentration risk. ... Lütkebohmert E (2007) Granularity adjustment for Basel II. Discussion Paper, Series 2: Banking and financial ... small wooden front porch ideasWebIt included computing Pillar 2 capital for concentration risk using Granularity Adjustment for Name concentration, HHI for Sector Concentration, Market Value of Equity (MVE) for Interest Rate Risk in Banking Book etc. ... (based on new Basel II - Consultative Documment) d) Credit Concentration Risk through Granularity Adjustment e) Interest ... hikvision ssd toolbox