The Basel Handbook :
The Basel Handbook: The three pillars of Basel II are a sound structure on which other regulatory models are likely to built. Early preparation is therefore essential. Michael Ong is one of the few modern risk managers, who has held leadership roles in the banking practice and the academia. He is widely respected for his work in both fields and has assembled an excellent pool of authors to help banks prepare for Basel II."
David R. Koenig, Chair, Board of Directors, Professional Risk Managers International Association (PRMIA)
"This book is essential reading for Bankers who are serious about reaping the rewards of the Basel II Accord. Michael has done a first-rate job of garnering considered and practical guidance from some of the leading authorities in this complex area."
Shahram Sharifi, Credit Risk Director, UK Retail Bank, Lloyds TSB Bank Plc.Fully up-to-date and comprehensively researched, this volume assists and advises the financial practitioner of every possible consequence of the latest Basel Accord - including advice on the implementation of systems affected by the Accords various regulations
Learn from contributions by those involved in setting regulation for financial institutions, risk practitioners, industry-wide organisations and third parties such as software vendors
Features a detailed overview of the revised Accord that highlights its major changes and includes comprehensive insight and guidance that advises on the Basel Accords three component pillars: Minimum Capital Requirement, Supervisory Review Process and Market Discipline
Each intricate facet of this complex Accord is broken down into easily understandable chunks
Covers the entire spectrum of related issues including: the treatment of credit risk, securitisation, the establishment of an effective operational risk framework and trading book issues
Latest title from the best-selling author and practitioner, Michael Ong
Contents of The Basel Handbook :
Section 1: Parameterisation of the Internal Ratings-Based Approach
Development and Validation of Key Estimates for Capital Models - Correlation in Basel II: Derivation and Evaluation - Loss Given Default and Recovery Risk: From Basel II Standards to Effective Risk Management Tools
Section 2: Implementation and Testing of Compliant IRB Systems - Implementation of an IRB Compliant Rating System - Stress Tests of Banks Regulatory Capital Adequacy: Application to Tier 1 Capital - Advanced Credit Model Performance Testing to Meet Basel Requirements - Point-in-Time versus Through-the-
Section 3: Securitisations and Retail Portfolios - Basel II Capital Adequacy Rules for Securitisations and for Retail Exposures
Section 4: Regulatory Expectations and Disclosure Issues - Regulatory Priorities and Expectations in the Implementation of the IRB Approach - Market Discipline and Appropriate Disclosure in Basel II
Section 5: Implementing the Advanced Measurement Approach for Operational Risk - Implementing a Basel II Scenario-Based AMA for Operational Risk - Loss Distribution Approach in Practice - An Operational Risk Ratings Approach to Better Measurement and Management of Operational Risk
Section 6: Loss Database and Insurance - Constructing an Operational Event Database - Insurance and Operational Risk
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