Aiming at increasing the stability of the financial markets, the New Basel Capital Accord provides a set of rules for determining the minimum capital to cover the risks arising from three areas of the management: credit, operational and trading risks. It offers a great opportunity for statisticians to develop appropriate methods to accurately estimate the relevant risk components. In this paper we outline some of the issues that can be addressed via ad-hoc modifications of existing statistical methods. The focus is primarily on issues in measuring the credit risk components with particular attention to the probability of default.
On Statistical Issues raised by the New Capital Accord
STANGHELLINI, Elena
2006
Abstract
Aiming at increasing the stability of the financial markets, the New Basel Capital Accord provides a set of rules for determining the minimum capital to cover the risks arising from three areas of the management: credit, operational and trading risks. It offers a great opportunity for statisticians to develop appropriate methods to accurately estimate the relevant risk components. In this paper we outline some of the issues that can be addressed via ad-hoc modifications of existing statistical methods. The focus is primarily on issues in measuring the credit risk components with particular attention to the probability of default.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
