The New Basel Capital Accord (Basel II) developed by the Basel Committee on Banking Supervision establishes new procedures for assessing a credit risk and capital adequacy requirements. For corporate client Basel II model suggests that a bank and its supervisor determine four parameters and...

Since 2001, the Risk Management Group of the Basel Committee has been performing specific surveys of banks' operational loss data. The second loss data collection was launched in the summer of 2002: The 89 banks participating in the exercise provided the Group with more than 47,000 observations,...

The relative cost efficiency of the mutual versus stock forms of ownership for thrifts has been a relevant issue in an era of deregulation and competition in the financial services industry. In this study Bayesian-based Markov chain Monte Carlo (MCMC) re-sampling methods are used to solve a...

This paper proposes a novel approach for modeling prepayment rates of individual pools of mortgages. The model incorporates the empirical evidence that prepayment is past dependent via Bayesian methodology. There are many factors that influence the prepayment behavior and for many of them there...

The paper describes a model of a new type for valuation of risky bonds and loans that we call a Bayesian Multi-Period (BMP) model. BMP is neither a structural model nor a reduced form and not a Merton-type model at all. BMP proceeds from the concept of a risky bond (loan) value as the Net...

The paper assesses the validity and accuracy of measuring risks of individual borrowers and credit portfolios by means of the Basel II credit risk model. The assessment method consists in parallel estimation of the same risks by means of exact probabilistic models. We find that the Basel II...

Banking cost or X-efficiency is dependent upon the frontier analysis method used to measure the efficient frontier. Parametric methods require estimation of a composite error model where the bank's efficiency parameter is a portion of the bank's deviation from the cost frontier of the banking...

The paper describes model of a new type for valuation of risky bonds and loans that we call Bayesian Multi-Period (BMP) model. BMP is neither structural model nor reduced form and not a Merton-type model at all. BMP proceeds from concept of a risky bond (loan) value as Net Present Value (NPV) of...

We propose a Bayesian methodology that enables banks to improve their credit scoring models by imposing prior information. As prior information, we use coefficients from credit scoring models estimated on other data sets. Through simulations, we explore the default prediction power of three...

The level of bankarization (access to and use of banking services) is relatively low in Argentina both in historical terms and compared with similarly developed countries. This is shown by indicators both of access to and use of banking services. This paper analyzes a unique database containing...