Deutsche Bundesbank

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• Systematic Risk in Recovery Rates - An Empirical Analysis of US Corporate Credit Exposures

  BNET - 2004-08-09

  This paper presents an analytical and empirical analysis of a parsimonious model framework that accounts for a dependence of bond and bank loan recoveries on systematic risk. The report extends the single risk factor model by assuming that the recovery rates also depend on this risk factor and follow a...

  Tags: Risk, Deutsche Bundesbank, Analysis, Recovery Rate, Strategy, Security, Management

• Part 2: The First Pillar - Minimum Capital Requirements

  BNET - 2003-04-28

  This section discusses the calculation of the total minimum capital requirements for credit, market and operational risk. The minimum capital requirements are composed of three fundamental elements: a definition of regulatory capital, risk weighted assets and the minimum ratio of capital to risk weighted assets. In calculating the capital ratio,...

  Tags: Asset, Risk, Deutsche Bundesbank, Minimum Capital Requirement, Asset Management, Strategy, Security, Operational Planning, Business Operations, Management

• Part 3: The Second Pillar - Supervisory Review Process

  BNET - 2003-04-28

  This section discusses the key principles of supervisory review, risk management guidance and supervisory transparency and accountability produced by the Committee with respect to banking risks, including that relating to the treatment of interest rate risk in the banking book, operational risk and aspects of credit risk (stress testing, definition...

  Tags: Risk Management, Deutsche Bundesbank, Banking, Financial Planning, Financial Services, Strategy, Security, Finance, Management

• Working Paper on the Treatment of Asset Securitizations

  BNET - 2001-10-01

  The purpose of this paper prepared by the Securitization Group of the Basel Committee is to discuss two sets of proposals that were initially outlined in the January 2001 consultative package. The first proposal is for an IRB treatment of securitizations, and the second is a general approach to synthetic...

  Tags: Asset, Securitization, Deutsche Bundesbank, Asset Management, Strategy, Security, Operational Planning, Business Operations, Management

• Working Paper on the IRB Treatment of Expected Losses and Future Margin Income

  BNET - 2001-07-01

  The purpose of this paper prepared by the Joint Accounting Task Force - Models Task Force Working Group of the Basel Committee is to further the Committee's dialogue with the industry on the IRB treatment of expected losses and future margin income. The Internal Ratings Based IRB approach as outlined...

  Tags: Income, Deutsche Bundesbank, Operational Accounting, Strategy, Finance, Management

• Operational Risk

  BNET - 2001-01-01

  According to the report the Committee is proposing to encompass explicitly risks other than credit and market in the New Basel Capital Accord. This proposal reflects the Committee's interest in making the New Basel Capital Accord more risk sensitive and the realization that risks other than credit and market can...

  Tags: Deutsche Bundesbank, Banking, Strategy, Financial Accounting, Financial Services, Management, Finance