Download Basel II implementation : a guide to developing and by Peter Miu PDF

By Peter Miu

ISBN-10: 0071591311

ISBN-13: 9780071591317

  • Basel II is a world legislation, and fiscal associations needs to turn out minimal compliance by way of 2008
  • The authors are hugely sought-after audio system and one of the world’s so much famous experts on Basel II implementation
  • Accompanying CD-ROM contains spreadsheet templates that may help enterprises as they enforce Basel II

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Read or Download Basel II implementation : a guide to developing and validating a compliant, internal risk rating system PDF

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Extra info for Basel II implementation : a guide to developing and validating a compliant, internal risk rating system

Sample text

5. The subsegment results and the regression analysis do not support the secured versus unsecured differentiation. 17 6. Realized recoveries have a very large dispersion. As a result, the mean LGD calculated from a small sample of workout recoveries is subject to a high level of error. When this is the case, market price appears to be a better alternative to the discounted workout recoveries in determining the economic LGD. 7. , discount rate of future cash flows) on defaulted instruments with higher recovery risk, providing empirical support for an appropriate risk-return trade-off.

The database contains recovery information from 1987 through the second quarter of 2005. We choose the LossStats Database as a reliable source of data due to its unique feature in that it contains both the 30-day distressed debt trading prices and the ultimate recovery values of the defaulted instruments, both of which are required in this study. The 30-day distressed debt trading price is the average trading price of the defaulted instrument over a 30-day window from day 15 to day 45 after the respective default event.

The reverse is actually the norm, as the higher level of expected recovery of the former can more than offset the higher risk premium required by the asset holders, thus resulting in a lower LGD. Our results suggest that, disregarding the difference in the level of expected recovery across instruments of different seniority, the recovery risk of the medium seniority class is highest among all instrument types, thus investors demand the highest risk premium. 5. The subsegment results and the regression analysis do not support the secured versus unsecured differentiation.

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