This book presents methods, data foundation,­ systems, and procedures, for the actual implementation of Basel II. The focus is exclusively on credit risk measurement under the IRB framework. Particularly, the book proposes to assist emerging market banks in delivering a suite of integrated...

Why are some global financial crises more difficult to recover from and overcome than others? What steps are necessary in ensuring that financial stability and recovery is facilitated? And what kind of environment has the previous financial environment evolved to and what kind of financial...

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...

Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short-term resilience. We investigate the effects of such liquidity regulation on bank liquid assets and liabilities. Results indicate co-integration of liquid assets and liabilities, to...