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Credit Risk: Aspects of Implementation

  • Ioannis Akkizidis
  • Lampros Kalyvas
Chapter

Abstract

The impact of the credit risk-related changes on the total RWA and capital requirements is important primarily due to the share of the current share of credit risk to the total RWA and capital requirements (almost two-thirds of the total minimum required regulatory capital of the major international banks [BCBS, Basel III: Finalising post-crisis reforms—Standards, 2017]).

The scope of this chapter is to provide the reader with the necessary background for the evaluation of the current and final Basel III. The comparison between the current and revised frameworks focuses on the assessment of the migration from the current to revised SA and from the current to the revised IRBA. Also, it aims at discussing the properties of such horizontal migration and introduces the reader to the properties of credit risk modelling.

References

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Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Ioannis Akkizidis
    • 1
  • Lampros Kalyvas
    • 2
  1. 1.Employed by Wolters KluwerZurichSwitzerland
  2. 2.Employed by European Banking AuthorityLondonUK

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