Benchmarking Model of Default Probabilities of Listed Companies

Benchmarking Model of Default Probabilities of Listed Companies

The Basel Committee on Banking Supervision is responsible for proposing capital requirements for internationally active banks. The Committee first proposed the Basel New Capital Accord, also known as Basel II, in 1999, with the final version (Basel Committee on Banking Supervision 2004) in June 2004...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: Hui, Cho-Hoi, Wong, Eric Tak-Chuen, Lo, Chi-Fai, Huang, Ming-Xi
Format: Buchkapitel
Sprache:eng
Schlagworte:
Credit Risk
Credit Spread
Default Rate
Leverage Ratio
Term Structure
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Beschreibung
Zusammenfassung:The Basel Committee on Banking Supervision is responsible for proposing capital requirements for internationally active banks. The Committee first proposed the Basel New Capital Accord, also known as Basel II, in 1999, with the final version (Basel Committee on Banking Supervision 2004) in June 2004. By year-end 2006, Basel II is expected to replace the original Basel Accord, which was implemented in 1988.
DOI:10.1057/9780230227378_9