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Internal Ratings-Based Approach AND Creditrisk+: Advantages AND Shortcuts (Concentration Of Russian Banks’ Portfolios and IRB Approach Error)

Author

Listed:
  • Razumovsky, Pavel

    (NRU HSE)

Abstract

There are many methodologies of economic capital calculation but two of them may be considered as two extremes that represent opposite key drivers of losses from credit risk: individual credit risk of the borrowers (CreditRisk+) and the influence of systemic risk factor (IRB Approach introduced in the Basel II Document). The calculating economic capital basing on the influence of macroeconomic conditions on all economic agents and stressing the significance of default correlation seams reasonable. The underestimation of IRB Approach for the Russian banking system is on average from 20 to 29% of Basel capital depending on the credit quality of he borrowers.

Suggested Citation

  • Razumovsky, Pavel, 2010. "Internal Ratings-Based Approach AND Creditrisk+: Advantages AND Shortcuts (Concentration Of Russian Banks’ Portfolios and IRB Approach Error)," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 4, pages 154-175.
    • Handle: RePEc:rnp:ecopol:1049
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