Modeling systematic consumer credit risk: Basel II and reality

RMA Journal, The,  Dec, 2003  by Daniel Rosch,  Harald Scheule

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Notes

(1) See Basel Committee on Banking Supervision (2003).

(2) For details on the model, compare Gordy, M.B. (2003) and Finger, C.C (2001).

(3) For details on the estimation of asset correlations, compare Rosch, D. and Scheule, H. (2004).

(4) See http://www.aba.com.

(5) See http://www.oecd.org.

References

Basel Committee on Banking Supervision, The New Basel Capital Accord, Third Consultative Document, Bank for International Settlements, April 2003

Finger, C.C., "The One-Factor CreditMetrics Model in The New Basel Capital Accord," RiskMetrics Journal, Vol. 2(1), 9-18, 2001

Gordy, M.B., 2003, "A Risk-Factor Model Foundation for Ratings Based Bank Capital Rules," Journal of Financial Intermediation, Vol. 12, 199-232, 2003.

Rosch, D., and Scheule, H., 2004, "Forecasting Retail Portfolio Credit Risk," Journal of Risk Finance, Vol 5, No. 2, Winter (forthcoming).

Dr. Daniel Rosch and Dr. Harald Scheule are assistant professors in the Department of Statistics, Faculty of Business and Economics, University of Regensburg, Regensburg, Germany.

Rosch can be reached by e-mail at Daniel.Roesch@wiwi.uni-regensburg.de; Scheule can be reached at Harald@Scheule.de

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