Retail Credit Risk Modeling and the Basel Capital Accord
- Topics:
- Commercial Banking
- Tags:
- Allocation,
- Business Operations,
- Federal Reserve Bank Of Philadelphia,
- Management,
- Modeling,
- Research & Development,
- Strategy
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Overview: The credit risk modeling practices in the banking industry are being evaluated by the international regulatory community in the context of developing an internal ratings-based (IRB) approach to capital requirements. While the broader effort encompasses both wholesale and retail lending, the paper focuses specifically on the retail sector. As credit card outstanding has become the fastest growing proportion of consumer debt, the application of risk assessment models to regulatory capital requirements is a particularly relevant issue for the Payment Cards Center. This paper provides additional background information on the Basel Accord and industry capital allocation practices.
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Format: PDF | Size: 268KB | Date: Jan 2002 | Pages: 9
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