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Relevant bibliographies by topics / IRB (Internal Rating Based) models

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Academic literature on the topic 'IRB (Internal Rating Based) models'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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Journal articles on the topic "IRB (Internal Rating Based) models"

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Penikas, Henry. "The review of the open challenges in the IRB loan portfolio credit risk modeling." Model Assisted Statistics and Applications 15, no. 4 (2020): 371–88. http://dx.doi.org/10.3233/mas-200508.

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The Basel Committee on Banking Supervision finalized the Basel III accord in the December 2017 and launched the set of its standards – the Basel Framework – in December 2019. Both documents allow bank to use mathematical models for the credit risk estimation. There are quantitative and qualitative requirements for models to be allowed for use in the prudential regulation of banks. The approach is called an Internal-Ratings-Based one (IRB). This paper aims at discussing a set of issues related to IRB credit risk modeling and such model estimates use. Those issues include data pooling in the cre

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Nacaskul, Poomjai. "Survey of credit risk models in relation to capital adequacy framework for financial institutions." Journal of Governance and Regulation 5, no. 4 (2016): 68–84. http://dx.doi.org/10.22495/jgr_v5_i4_p6.

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This article (i) iterates what is meant by credit risks and the mathematical-statistical modelling thereof, (ii) elaborates the conceptual and technical links between credit risk modelling and capital adequacy framework for financial institutions, particularly as per the New Capital Accord (Basel II)’s Internal Ratings-Based (IRB) approach, (iii) proffer a simple and intuitive taxonomy on contemporary credit risk modelling methodologies, and (iv) discuses in some details a number of key models pertinent, in various stages of development, to various application areas in the banking and financia

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Kuznichenko, Yana, Mariia V. Dykha, Natalia Pavlova, Serhiy Frolov, and Olha Hryhorash. "Defining the probability of bank debtors’ default using financial solvency assessment models." Banks and Bank Systems 13, no. 2 (2018): 1–11. http://dx.doi.org/10.21511/bbs.13(2).2018.01.

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Due implementation of debtors’ financial solvency assessment models by Ukrainian banks with the aim of calculating the probability of their default (PD) is the next step towards the integration of Ukrainian banking system into global banking community, convergence of methodical approaches to assessing the credit risk with standards of international practice, possibility of using IRB-approach (an approach based on internal ratings) for calculating the regulatory requirements to capital adequacy.The analysis of approaches to bank credit portfolio segmentation according to types of debtors and de

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Stefano, Olgiati, and Danovi Alessandro. "ZETA™ Methodology and Variation in the Systemic Risk of Default: Accounting for the Effects of Type II (False Negative) Errors Variation on Lending." Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438 9, no. 1 (2015): 71–81. http://dx.doi.org/10.17323/j.jcfr.2073-0438.9.1.2015.71-81.

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Olgiati Stefano - University of Bergamo, Department of Management, Economics and Quantitative Methods.  Danovi Alessandro - University of Bergamo The loan manager - dealing with one single borrower at a time and being responsible for that single decision to lend - is exposed to the idiosyncratic risk of default of his customer just like the physician is exposed to the risk of a wrong diagnosis with our strep throat. At the same time – if we do not expect the strep throat diagnostic test kit to change - we would still expect that physician reading that test to become more careful –

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De Jongh, Riaan, Tanja Verster, Elzabe Reynolds, Morne Joubert, and Helgard Raubenheimer. "A Critical Review Of The Basel Margin Of Conservatism Requirement In A Retail Credit Context." International Business & Economics Research Journal (IBER) 16, no. 4 (2017): 257–74. http://dx.doi.org/10.19030/iber.v16i4.10041.

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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 the Asymptotic Risk Factor (ASRF) model, which assumes that a borrower will default if the value of its assets were to fall below the value of its debts. The primary inputs needed in this formula are estimates of probability of default (PD), loss given default (LGD) and exposure at default (EAD). Banks for whom usage of the advanced IRB approac

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Berg, Tobias, Manju Puri, and Jörg Rocholl. "Loan Officer Incentives, Internal Rating Models, and Default Rates*." Review of Finance 24, no. 3 (2019): 529–78. http://dx.doi.org/10.1093/rof/rfz018.

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Abstract Manipulation of hard information has been at the center of a wave of investigations into fraudulent bank behavior, such as mis-selling of mortgages and rigging of London Interbank Offered Rate and Foreign Exchange rates. Despite these prominent cases, little is known as to why employees manipulate hard information. Using almost a quarter million retail loan applications, we show that loan officers who face volume-based incentives significantly manipulate ratings even in settings where ratings are computed using hard information only. Manipulation is widespread across loan officers, wi

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Iannaccone, Alice, Daniele Conte, Cristina Cortis, and Andrea Fusco. "Usefulness of Linear Mixed-Effects Models to Assess the Relationship between Objective and Subjective Internal Load in Team Sports." International Journal of Environmental Research and Public Health 18, no. 2 (2021): 392. http://dx.doi.org/10.3390/ijerph18020392.

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Internal load can be objectively measured by heart rate-based models, such as Edwards’ summated heart rate zones, or subjectively by session rating of perceived exertion. The relationship between internal loads assessed via heart rate-based models and session rating of perceived exertion is usually studied through simple correlations, although the Linear Mixed Model could represent a more appropriate statistical procedure to deal with intrasubject variability. This study aimed to compare conventional correlations and the Linear Mixed Model to assess the relationships between objective and subj

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Volarević, Hrvoje, and Mario Varović. "Internal model for IFRS 9 - Expected credit losses calculation." Ekonomski pregled 69, no. 3 (2018): 269–97. http://dx.doi.org/10.32910/ep.69.3.4.

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This article explores and analyzes the implementation problem of International Financial Reporting Standard 9 (IFRS 9) which is in use from 1 January 2018. IFRS 9 is most relevant for financial institutions, but also for all business subjects with a significant share of financial assets in their Balance sheet. The main objective of this article is the implementation of new impairment model for financial instruments, which is measurable through Expected Credit Losses (ECL). The use of this model is in correlation with a credit risk of the company for which it is necessary to determine basic var

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Di Clemente, Annalisa. "Modeling Portfolio Credit Risk Taking into Account the Default Correlations Using a Copula Approach: Implementation to an Italian Loan Portfolio." Journal of Risk and Financial Management 13, no. 6 (2020): 129. http://dx.doi.org/10.3390/jrfm13060129.

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This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the portfolio. The analytical approach used for estimating the portfolio credit risk is a binomial type based on a Monte Carlo Simulation. This method takes into account the default correlations among the credit counterparties in the portfolio by following a copula approach and utilizing the asset return correlations of the obligors, as estimated by rigo

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Ferri, Giovanni, and Valerio Pesic. "The Spillover Effects of Prudential Regulation on Banking Competition." Vierteljahrshefte zur Wirtschaftsforschung 89, no. 1 (2020): 59–100. http://dx.doi.org/10.3790/vjh.89.1.59.

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Summary: European supervisors aggressively requested more capital at large banks. That may cut credit to the economy. We confirm that especially larger banks cut loans while less-significant banks partly offset that credit drop. Moreover, we identify nasty spillovers from that interaction. Specifically, larger banks’ deleveraging was associated with significant portfolio worsening for mid-sized banks. We conjecture that while small banks’ loan expansion was somewhat shielded by superior soft-information-based technologies, medium-sized banks were fully exposed to lending to bad borrowers as th

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Dissertations / Theses on the topic "IRB (Internal Rating Based) models"

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Čabrada, Jiří. "Kreditní rizika z pohledu Basel II." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-5575.

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The thesis "Credit risk from Basel II point of view" deals with new capital concept with main focus on the credit risk. The particular emphasis is laid on the chief issue of Basel II concept i.e. internal models. The thesis quite in detail describes the usage of basel parameters - LGD particularly - in various day-to-day business processes of credit institutions. An individual part of the thesis is devoted to credit risk mitigants and their impacts on the amount of capital requirements. The analysis carried out precedent Basel II implementation indicated the launching of Basel II should imply

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Chang, Ting-Sue, and 張庭樹. "The Internal Ratings-Based (IRB) Approach of the Bank-Applying and Adjusting KMV Model." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/95776192379374056347.

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碩士<br>國立中興大學<br>財務金融學系<br>93<br>For answering new Basel capital protocol is implemented the end of 2006, the bank must set up itself Internal Ratings Based Approach, and this article will discuss that KMV model is applied efficiently, and then adjusted by default probability which Standard & Poor provides every year, to be able to get a quantization and rational default probability, and to offer an effective law of commenting amount of Internal Ratings Based Approach. Regarding the listed company in Taiwan as the sample of studying, and then use CAP , KS , ROC ,and CIER to validate model, and

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Books on the topic "IRB (Internal Rating Based) models"

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N, Chorafas Dimitris. Modelling the survival of financial and industrial enterprises: Advantages, challenges, and problems with the internal ratings-based (IRB) method. Palgrave/Macmillan, 2002.

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Simon, Gleeson. Part II Commercial Banking, 10 The Internal Ratings-Based Approach. Oxford University Press, 2018. http://dx.doi.org/10.1093/law/9780198793410.003.0010.

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This chapter discusses the internal ratings-based approach (IRB). The IRB permits a bank to use its internal models to derive risk weights for particular exposures. There are two available bases for the IRB: foundation (F-IRB), which permits the bank to model Probability of Default (PD), but relies on regulatory standard figures to determine Loss Given Default (LGD) and Exposure at Default (EAD); and advanced (A-IRB), in which all three of these are modelled. The A-IRB IRB approach models PD, LGD, EAD, and M. Both IRB approaches model both expected loss (EL) and unexpected loss (UL), and IRB b

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Bruno, Brunella, Giacomo Nocera, and Andrea Resti. Are Risk-Based Capital Requirements Detrimental to Corporate Lending? Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198815815.003.0019.

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In this chapter, we summarize the main results of a recent empirical research concerning European banks. We first explore the main drivers of the differences in risk-weighted assets (RWAs) across a sample of fifty large European banking groups. We then assess the impact of RWA-based capital regulations on those banks’ asset allocations in 2008–14. We find that risk weights are affected by bank size, business models, and asset mix. We also find that the adoption of internal ratings-based (IRB) approaches is an important driver of RWAs and that national segmentations explain a significant (albei

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Modelling the Survival of Financial and Industrial Enterprises: Advantages, Challenges and Problems with the Internal-Ratings Base (IRB). Palgrave Macmillan, 2002.

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Conference papers on the topic "IRB (Internal Rating Based) models"

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Seaberg, Wayne G. "Connecting Rod Big End Design Using Finite Element Analysis and Bench Testing Validation." In ASME 2009 Internal Combustion Engine Division Spring Technical Conference. ASMEDC, 2009. http://dx.doi.org/10.1115/ices2009-76058.

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Dresser Waukesha has designed a new connecting rod for implementation on the VHP series of natural gas engines. The connecting rod design process was driven by feature based solid models which were readily accessed for finite element structural analysis, rapid prototyping, and production tooling procurement in order to minimize the overall development time. The main objectives of the design effort were higher speed/power rating capability and assembly compatibility with existing 8.50 inch and 9.375 inch bore field engines in both a lean burn and rich burn operating condition. This paper discus

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Siefert, Nicholas, and Shawn Litster. "Exergy and Economic Analysis of Catalytic Coal Gasifiers Coupled With Solid Oxide Fuel Cells." In ASME 2012 10th International Conference on Fuel Cell Science, Engineering and Technology collocated with the ASME 2012 6th International Conference on Energy Sustainability. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/fuelcell2012-91445.

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The National Energy Technology Laboratory (NETL) as well as Li et al. [1] have shown that integrating a catalytic coal gasifier with a solid oxide fuel cell (SOFC) can achieve high system efficiencies (∼60%) while capturing and sequestering >90% of the carbon dioxide. Integration of a catalytic gasifier with a SOFC is aided by the minimal exergy destruction inside a catalytic, steam-coal gasifier producing a high-methane content syngas, and the decreased exergy destruction in the SOFC due to the ability to operate at lower air stoichiometric flow ratios compared with a SOFC operating only o

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Kuutti, Juha, and Ahti Oinonen. "Comparison of ASME XI and BS7910 Allowable Surface Flaw Size Evaluation Procedures in Piping Components." In ASME 2018 Pressure Vessels and Piping Conference. American Society of Mechanical Engineers, 2018. http://dx.doi.org/10.1115/pvp2018-84276.

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This paper presents a failure assessment diagram (FAD) and crack size based comparison of the ASME BVPC Section XI Nonmandatory Appendix C and Nonmandatory Appendix H and the British Standard BS 7910:2013 Option 1 assessment methods. The Section XI appendix C evaluates the acceptability of a flaw by determining the expected failure mechanism and by comparing the flaw size with allowable flaw size limits or by comparing the applied stress to the allowable stress. The Section XI appendix H and BS7910 employ a FAD based approach that simultaneously considers brittle fracture, ductile crack extens

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Guzman-Leong, Consuelo E., Stephen R. Gosselin, and Frederic A. Simonen. "Flaw Size Acceptance Limits for a Stainless Steel Pressure Vessel." In ASME 2013 Pressure Vessels and Piping Conference. American Society of Mechanical Engineers, 2013. http://dx.doi.org/10.1115/pvp2013-98037.

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The ASME Boiler and Pressure Vessel Code Section XI provides flaw size acceptance standards for ferritic steel pressure vessels. Section XI Table IWB-3510-1 presents allowable flaw size limits in terms of flaw depth, length and vessel thickness. These flaw size limits are based on linear elastic fracture mechanics calculations that assume a brittle fracture failure mode. As yet, no allowable flaw size standards are provided in Section XI for stainless steel reactor or non-reactor pressure vessels. This paper presents allowable flaw size limits for a stainless steel pressure vessel. These limit

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Blackwell, Chris, Edgar Ivan Cote, and Colin Gagne. "A Decision Making Methodology for Cost Effectively Managing Pipeline Risk." In 2012 9th International Pipeline Conference. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/ipc2012-90430.

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To aid with making risk-based pipeline management decisions, a methodology is required to evaluate the cost-benefit of various pipeline operation strategies as a function of time. This methodology should provide consideration to evaluating an existing asset with active damage mechanisms and imperfections in various states of severity. In this paper, the subject of the methodology is a typical transmission pipeline with the following properties: • Transports refined liquid products; • Mid-size diameter (NPS 8 to NPS 16); • Telescoping wall thickness based on proximity to pump stations (4 to 6 m

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Horel, Boris, Benjamin Bouscasse, Arnaud Merrien, and Guillaume de Hauteclocque. "Experimental Assessment of Vertical Shear Force and Bending Moment in Severe Sea Conditions." In ASME 2019 38th International Conference on Ocean, Offshore and Arctic Engineering. American Society of Mechanical Engineers, 2019. http://dx.doi.org/10.1115/omae2019-96272.

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Abstract Recent studies have benchmarked the prediction of wave vertical bending moment (VBM) of ship in waves [1][2], and found significant scatter among the numerical codes. Unfortunately, experimental data in extreme waves, that are relevant to ship design, are not often easily accessible, nor completely fitted to rigorous comparison to numerical codes. Then, the improvement of numerical tools and the modelling of ship’s internal loads still requires accurate experimental data measured in steep waves (ratio wave height H to wavelength λ, H/λ = 0.1) where the ship behavior and loads are modi

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Reports on the topic "IRB (Internal Rating Based) models"

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McPhedran, R., K. Patel, B. Toombs, et al. Food allergen communication in businesses feasibility trial. Food Standards Agency, 2021. http://dx.doi.org/10.46756/sci.fsa.tpf160.

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Background: Clear allergen communication in food business operators (FBOs) has been shown to have a positive impact on customers’ perceptions of businesses (Barnett et al., 2013). However, the precise size and nature of this effect is not known: there is a paucity of quantitative evidence in this area, particularly in the form of randomised controlled trials (RCTs). The Food Standards Agency (FSA), in collaboration with Kantar’s Behavioural Practice, conducted a feasibility trial to investigate whether a randomised cluster trial – involving the proactive communication of allergen information a

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