Assessment of Credit Risk Approaches in Relation with Competitiveness Increase of the Banking Sector
Cipovová Eva, Belás Jaroslav
credit risk, Standardized approach, FIRB approach, expected and unexpected loss, leverage ratio,
capital adequacy, Basel III.
The article is focused on a presentation and analysis of selected methods of credit risk management
in relation with competitiveness increase of the banking sector. The article is defined
credit risk approaches under the Basel III gradually.
Aim of this contribution constitutes various methods of credit risk management and effects of
their usage on regulatory capital amount in respect of corporate exposures.
Optimal equity amount in relation to the risk portfolio presents an essential prerequisite of
performance and competitiveness growth of commercial banks. Gradually capital requirements
using Standardized Approach and Internal Based Approach in a case of used and unused
techniques of credit risk reduce has been quantified.
We presume that sophisticated approach means significant saving for bank’s equity which
increases competitiveness of banking sector also. Within the article, quantification of capital
savings in case of Standardized (with and without assigned external ratings) and Foundation
Internal Based Approach at the selected credit portfolio has been effected.
Assessment of Credit Risk Approaches in Relation with Competitiveness Increase of the Banking Sector [PDF file] [Filesize: 1.21 MB]
Cipovová, E., Belás, J.(2012). Assessment of Credit Risk Approaches in Relation
with Competitiveness Increase
of the Banking Sector. Journal of Competitiveness, 4 (2), 69-84. https://doi.org/10.7441/joc.2012.02.05