Home  Journals  Finance and Credit  32(560) - 2013 August

Definition of economic capital on credit risk on basis of imitating model of expected losses in Russian banks

Available online: 29 August 2013

Subject Heading: Banking

JEL Classification: 

The technique of an assessment of the economic capital in article on credit risk on the basis of alternative internal model of the expected losses determined by a method of imitating modeling of Monte-Carlo is presented. Such model levels negative manifestations of use of operating national credit rating model and considers progressive recommendations of Basel committee on the bank supervision, combining separate provisions of Basel by II, III, the developments adapted for the Russian conditions. Evaluation stages of the economic capital in the integrated system of an assessment of credit risk are defined.

Keywords: risk - focused supervision, management of credit risk, model of expected losses, economic capital, dynamic reservation, stress testing

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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