Please use this identifier to cite or link to this item: http://hdl.handle.net/2440/108667
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dc.contributor.authorRUTKOWSKI, M.en
dc.contributor.authorTARCA, S.en
dc.date.issued2015en
dc.identifier.citationInternational Journal of Theoretical and Applied Finance, 2015; 18(5):1550034en
dc.identifier.issn0219-0249en
dc.identifier.issn1793-6322en
dc.identifier.urihttp://hdl.handle.net/2440/108667-
dc.description.abstractThe Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the banking sector against insolvency. We outline the mathematical foundations of regulatory capital for credit risk, and extend the model specification of the IRB approach to a more general setting than the usual Gaussian case. It rests on the proposition that quantiles of the distribution of conditional expectation of portfolio percentage loss may be substituted for quantiles of the portfolio loss distribution. We present a more compact proof of this proposition under weaker assumptions. Then, constructing a portfolio that is representative of credit exposures of the Australian banking sector, we measure the rate of convergence, in terms of number of obligors, of empirical loss distributions to the asymptotic (infinitely fine-grained) portfolio loss distribution. Moreover, we evaluate the sensitivity of credit risk capital to dependence structure as modeled by asset correlations and elliptical copulas. Access to internal bank data collected by the prudential regulator distinguishes our research from other empirical studies on the IRB approach.en
dc.description.statementofresponsibilityMarek Rutkowski and Silvio Tarcaen
dc.language.isoenen
dc.publisherWorld Scientific Publishing Companyen
dc.rights© World Scientific Publishing Companyen
dc.subjectCredit risk; regulatory capital; internal ratings-based (IRB) approach; asymptotic single risk factor (ASRF) model; credit value-at-risk (VaR); one-factor Gaussian copula, Student’s t copulaen
dc.titleRegulatory capital modeling for credit risken
dc.typeJournal articleen
dc.identifier.rmid0030042397en
dc.identifier.doi10.1142/S021902491550034Xen
dc.identifier.pubid234171-
pubs.library.collectionEconomics publicationsen
pubs.library.teamDS10en
pubs.verification-statusVerifieden
pubs.publication-statusPublisheden
dc.identifier.orcidTARCA, S. [0000-0002-2646-3762]en
Appears in Collections:Economics publications

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