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Marcio Holland,Guilherme Yanaka
Pág. 167 - 195
With the implementation of Basel II Accord in Brazil, the largest banks will be allowed to use the so-called IRB (Internal Ratings Based) model to compute the credit risk capital requirement. The aim of this work is to measure the difference between the ...
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Riaan de Jongh, Tanja Verster, Elzabe Reynolds, Morne Joubert, Helgard Raubenheimer
The Basel II accord (2006) includes guidelines to financial institutions for the estimation of regulatory capital (RC) for retail credit risk. Under the advanced Internal Ratings Based (IRB) approach, the formula suggested for calculating RC is based on ...
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Umara Noreen,Fizza Alamdar,Tabassum Tariq
Pág. 1798 - 1806
Regulatory authorities impose regulations on banks to maintain a threshold of capital to asset ratio above the required minimum level defined by capital adequacy regulation. This research has found important relevancy of bank?s capital buffer and bank ri...
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Pieter G. Vosloo,Paul Styger
AbstractMany factors impacted the credit risk environment in the past decade, the most significant of which were the Basel II Capital Accord requirements. Foremost in the financial industry?s focus was, and still is, the implementation of these requireme...
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Elmira A. Asyaeva,Inna V. Chizhankova,Natalia F. Bondaletova,Sergey A. Makushkin
Pág. 96 - 100
This paper analyzes how to appeal to the securitization of leasing companies affect the possible appearance in Russia in the framework of Basel II and Basel III capital requirements in respect of credit risk operations, securitization of leasing assets. ...
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Suren Pakhchanyan
Following the three-pillar structure of the Basel II/III framework, the article categorises and surveys 279 academic papers on operational risk in financial institutions, covering the period from 1998 to 2014. In doing so, different lines of both theoret...
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Ali Fatih Dalkilic, Cemal Ibis, Nazim Hikmet
Pág. 22 - 37
Through recent developments, including the new Turkish Commercial Code, Basel II and IFRS for SMEs; External Auditing is quickly becoming a current issue that is expected to add value to all non-listed companies. Turkish Commercial Code requires all comp...
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Badar Nadeem Ashraf, Sidra Arshad and Yuancheng Hu
In response to the global financial crisis of 2007?2009, risk-based capital requirements have been reinforced in the new Basel III Accord to counter excessive bank risk-taking behavior. However, prior theoretical as well as empirical literature that stud...
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John Muteba Mwamba, Donovan Beytell
This paper uses closing prices of the BRICS (Brazil, Russia, India, China, and South Africa) financial markets to implement a risk model that generates point estimates of both Value at Risk (VaR); and Expected Shortfall (ES). The risk model is thereafter...
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