Assessing and managing credit risk in retail financial services |
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Authors: | Robson, Mark Saporta, Victoria |
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Affiliation: | 1 Bank of England, Threadneedle Street, London EC2R 8AH, UK |
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Abstract: | The paper reviews recent developments and future needs in modellingcredit risk in the retail portfolio and their recent regulatoryimplications, against the implications of the new frameworkproposed by the Basel Committee on Banking Supervision. It introducesfour related papers arising from a conference held at the Bankof England in November 2000, before outlining the history ofthe requirements and the determination of the minimum capitalrequired by banks to cover credit risk on their assets. Therationale for the mathematics behind the proposed new internationalinternal-ratings based approach, relying on banks'own models, is then briefly discussed, with relevant bibliographyfor further reading. |
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Keywords: | credit risk banking supervision minimum capital Basel capital accord IRB approach |
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