Credit Risk Capital Estimation Under IRB Approach for Banks in India

2017 ◽  
Vol 16 (2) ◽  
pp. 475-500
Author(s):  
Richa Verma Bajaj
Keyword(s):  
Credit Risk ◽  
Risk Capital ◽  
Irb Approach

scholarly journals Basiléia II e Exigência de Capital para Risco de Crédito dos Bancos no Brasil

2010 ◽  
Vol 8 (2) ◽  
pp. 167
Author(s):  
Marcio Holland ◽  
Guilherme Yanaka
Keyword(s):  
Credit Risk ◽  
Bank Credit ◽  
Capital Requirement ◽  
Transition Matrices ◽  
Risk Capital ◽  
Minimum Capital ◽  
Minimum Capital Requirement ◽  
The Difference ◽  
The One ◽  
Irb Approach

With the implementation of Basel II Accord in Brazil, the largest banks will be allowed to use the so-called IRB (Internal Ratings Based) model to compute the credit risk capital requirement. The aim of this work is to measure the difference between the minimum capital requirement (and, thus, in the capital ratio) calculated through the IRB approach and the one defined by the current regulation. Estimates of probabilities of default (PD) were made using transition matrices constructed from the Brazilian Central Bank Credit Register (SCR) data. The results show an increase in the capital requirement, contrary to what have happened in the G-10 countries.

The relationship between risk, capital and efficiency in Indian banking: Does ownership matter?

2019 ◽  
Vol 11 (2) ◽  
pp. 218-231
Author(s):  
Sanjukta Sarkar ◽  
Rudra Sensarma ◽  
Dipasha Sharma
Keyword(s):  
Public Sector ◽  
Credit Risk ◽  
Large Data ◽  
Foreign Banks ◽  
Risk Capital ◽  
Lower Efficiency ◽  
Data Set ◽  
Content Type ◽  
Balance Sheets ◽  
Indian Banks

Purpose This paper aims to examine the interplay between risk, capital and efficiency of Indian banks and study how their relationship differs across different ownership types. Design/methodology/approach Panel regression techniques are used to analyze a large data set of all Indian scheduled commercial banks operating during the period 2008-2016. Findings The results show that lower efficiency is associated with higher credit risk in the case of public sector and old private sector banks (”bad management hypothesis”). However, higher efficiency leads to higher credit risk in the case of foreign banks (“cost skimping hypothesis”). The authors further find that the more efficient institutions among public sector hold more capital. Finally, they find that the better-capitalized banks among those in the public sector have lower risks on their balance sheets (“moral hazard hypothesis”). Originality/value There is a paucity of papers on the interplay between risk, capital and efficiency of banks in emerging economies. This paper is the first to study the inter-relationship between risk, capital and efficiency of Indian banks across ownership groups using a number of different measures of risk.

Estimating Credit Risk Capital: What's the Use?

2001 ◽  
Vol 2 (3) ◽  
pp. 17-34 ◽  
Author(s):  
PAUL KUPIEC
Keyword(s):  
Credit Risk ◽  
Risk Capital

scholarly journals Survey of credit risk models in relation to capital adequacy framework for financial institutions.

2016 ◽  
Vol 5 (4) ◽  
pp. 68-84
Author(s):  
Poomjai Nacaskul
Keyword(s):  
Credit Risk ◽  
Financial Institutions ◽  
Financial Sector ◽  
Statistical Modelling ◽  
Capital Adequacy ◽  
Stages Of Development ◽  
Risk Models ◽  
Risk Modelling ◽  
Credit Risks ◽  
Irb Approach

This article (i) iterates what is meant by credit risks and the mathematical-statistical modelling thereof, (ii) elaborates the conceptual and technical links between credit risk modelling and capital adequacy framework for financial institutions, particularly as per the New Capital Accord (Basel II)’s Internal Ratings-Based (IRB) approach, (iii) proffer a simple and intuitive taxonomy on contemporary credit risk modelling methodologies, and (iv) discuses in some details a number of key models pertinent, in various stages of development, to various application areas in the banking and financial sector.

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