This paper uses Risk-Adjusted Return on Capital (RAROC) to assess the performance of 14 financial holding companies (FHCs) in Taiwan. RAROC value indicates a firm’s performance after considering the market risk effect, and gives a better measurement of the firm’s operational productivity...

This paper simulates the minimum capital requirements for the wholesale exposures of a medium-sized bank in each EMU country depending on the credit rating agencies chosen by the bank to risk-weight its exposures in the standardised approach to credit risk in Basel II. Three main results emerge...

This paper simulates the minimum capital requirements for the wholesale exposures of a medium-sized bank in each EMU country depending on the credit rating agencies chosen by the bank to risk-weight its exposures in the standardised approach to credit risk in Basel II. Three main results emerge...

El presente documento presenta algunos de los aspectos más destacados referentes a los efectos del Nuevo acuerdo de capital de Basilea (NACB) sobre los sistemas financieros de América Latina y el Caribe. Se discuten las implicancias de los cambios propuestos sobre los niveles de capital, la...

El presente documento presenta algunos de los aspectos más destacados referentes a los efectos del Nuevo acuerdo de capital de Basilea (NACB) sobre los sistemas financieros de América Latina y el Caribe. Se discuten las implicancias de los cambios propuestos sobre los niveles de capital, la...

This paper analyses the impact of different credit risk-based capital requirement implementations on banks' need for capital. The capital requirements for an artificially constructed risky loan portfolio are calculated by applying the BIS approach, the two widespread commercial risk-measurement...

Basel II’s New Standardized Approach: Possible Effects of Implementation Katherine Wyatt New York State Banking Department Abstract The New York State Banking Department surveyed 33 institutions in 2001 and 2002 for a study of the possible effects of the Standardized Approach of the proposed...

The rating-sensitive capital charges on credit risks under the new Basel Accord are likely to increase the volatility of minimum capital requirements, which may force banks to hold larger capital cushions in excess of minimum requirements.We analyse this claim on the basis of numerical...

The rating-sensitive capital charges on credit risks under the new Basel Accord are likely to increase the volatility of minimum capital requirements, which may force banks to hold larger capital cushions in excess of minimum requirements. We analyse this claim on the basis of numerical...

This paper presents a survey of techniques used for default risk analysis and it illustrates the reasons why a large number of researchers study the insolvency of firms. Firstly, there is an introduction on Basel II focusing on the first pillar and the new standards dictated by the New Basel...