Calculation of capital requirements for secured loans according to the rules of the new basel capital accord
|Author:||Mgr. Lucia Kališová|
|Year:||2007 - winter|
|Leaders:|| Mgr. Magda Pečená Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance.|
|Abstract:||This diploma thesis deals with the calculation of capital requirements for secured loans according to the rules of the New Basel Capital Accord. Within this context we ask a question in the introduction whether more sophisticated approach leads to lower capital requirements. In the next chapter we describe credit risk and different types of collateral used for credit risk mitigation. Then we provide detailed explanation of different approaches of the Basel Accord, concretely simple and comprehensive approach of Standardized Approach and foundation and advanced approaches of Internal Rating Based Approach. The main part of the thesis is application of these approaches on a simulated portfolio. By comparison of results we get a positive answer to our question.|
|Downloadable:|| Diploma Thesis of Lucia Kališová