宁夏大学学报（自然科学版）2019，Vol.40Issue(4)：310-314,323,6.
信用风险的巴塞尔资本公式之比较
Reconciliation of Two Approaches of Basel Capital Formula for Credit Risk
Shamita Dutta Gupta1
作者信息
- 1. 丕士大学数学系,美国纽约 NY 10038
- 折叠
摘要
Abstract
The Basel accord is the corner stone of the international banking regulation on capital requirement.The key component of the capital methodology underwent many iterations and enhancements.Broadly speaking,the methodologies are RWA (Risk Weighted Asset) formula based,or VAR (Value at Risk) based / model based.The two approaches of the Basel Capital formula for the credit risk is reconciled.It is observed that under certain assumptions,the two approaches provide overall consistent results.It is not surprising that in practice,large institutions use VAR based approach,and small institutions uses RWA based approach,due to resource constraints for extensive model building and also inherent bias in the methodology itself.关键词
巴塞尔资本协议/风险加权资产/VAR方法Key words
Basel accord/Risk Weighted Asset/Value at Risk分类
数理科学引用本文复制引用
Shamita Dutta Gupta..信用风险的巴塞尔资本公式之比较[J].宁夏大学学报（自然科学版）,2019,40(4):310-314,323,6.
