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Basel III - changes in capital ratio

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: 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).