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BASEL III Updates – November 2014

Basel III Updates – November 2014 In preparation for Basel III and the requirements for banks  to hold higher (and better quality) minimum amounts of tier-1 capital, various responses/ reactions to the regulatory regime changes are being witnessed in different countries. Here is a quick

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ICAAP: Credit Risk: Stress Test: Transition Matrix Stress Test

In this post we discuss one way of stress testing a rating grades transition matrix. The stressed transition matrix will then be used in the other credit risk quantification calculations. The revised results will be compared to the original credit risk quantification calculations to determine the impact of the stress test.

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ICAAP: Credit Risk: Stress Test: How to Determine Expected Classification Rates

In this post we will consider how to derive expected classification rates for “current” customers of a loan portfolio. This is used to calculate the expected “current” customers who will be classified within the next period, which will in turn be used in the quantification process of credit risk under the Internal Capital Adequacy and Assessment Process (ICAAP).

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