Basel II: A Case for Recalibration. FDIC Center for Financial Research Working Paper, No. 2006-13

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外文摘要：Objectives for Basel II include the promulgation of a sound standard for risk measurement and risk-based minimum capital regulation. The AIRB approach, which may be mandatory for large U.S. banks, will give rise to large reductions in regulatory capital. This paper assess whether the reductions in minimum capital are justified by improvements in the accuracy of risk measurement under Basel II. Review of credit loss data and analysis of the economics of capital allocation methods identify important shortcomings in the AIRB framework that lead to undercapitalization of bank credit risks.

外文关键词：

CapitalBankingRisk measurementRegulationsCompetitionBanksFinancial managementFinancial stabilityBenchmarks

报告作者：

Kupiec, P. H.

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作者单位：

Federal Deposit Insurance Corp., Washington, DC.

报告编号：

PB2009109022

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报告类型：

美国商务部出版局报告