Work detail

Calculation of capital requirements for secured loans according to the rules of the new basel capital accord

Author: PhDr. Kališová Lucia
Year: 2007 - winter
Leaders: Mgr. Magda Pečená Ph.D.
Consultants: † prof. Ing. Michal Mejstřík CSc.
Work type: Doctoral
Language: English
Pages: 87
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Abstract: This rigorous 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: Rigorous thesis

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