MANAGEMENT OF APPLICATION OF BANKING MODEL FOR INTERNAL CREDIT RISK MEASUREMENT
MANAGEMENT OF APPLICATION OF BANKING MODELS FOR INTERNAL CREDIT RISK MEASUREMENT
Author(s): Aleksandra Brakus, Dragan Vučinić, Dejan GligovićSubject(s): Economy, Business Economy / Management
Published by: Fakultet za poslovne studije i pravo
Keywords: measurement; management; credit risk; banking models; capital requirements; default; probability
Summary/Abstract: In this paper, we shall analyze the application of banking internal credit risk measurement models for the purpose of calculating the minimum regulatory capital. The Basel Committee established proposals for an internal rating based approach (IRB approach - internal rating based) for credit risk. This type of approach can ensure two key objectives: the first is additional risk sensitivity, in which there are capital requirements based on internal ratings to credit risk drivers of economic losses in the banking sector. The second is the one where the right structure of the RBI approach can provide a framework that encourages banks to continue to improve their internal risk management practices. This is based on internal ranking aims to improve safety and soundness in the financial system.
Journal: International Journal of Economics & Law
- Issue Year: 12/2022
- Issue No: 36
- Page Range: 11-17
- Page Count: 7
- Language: English