From Basel 1 to Basel 3: The Integration of State of the Art Risk Modelling in Banking Regulation

The proposed rules are presented and key issues regarding implementation of the accord identified. The model used to calibrate the capital requirements under Basel 2 is analyzed and projected forward to present what could be key new elements in the future Basel 3 regulation. A CD-ROM is included to illustrate regulator models.

Author: L. Balthazar
Publisher: Palgrave MacMillan
Published: 01/01/2006
Pages: 294
Binding Type: Paperback
Weight: 0.98lbs
Size: 9.21h x 6.14w x 0.66d
ISBN: 9781349525256

About the Author
LAURENT BALTHAZAR is Head of Economic & Regulatory Capital at Dexia Bank. He has been responsible for the development of scoring models and of the RAROC methodology. He is also involved in the implementation of the Basel 2 project and of the economic capital framework. He is a frequent speaker at conferences and delivered trainings on Basel 2 in Eastern Europe countries.