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  1. 1 Lusztyn M.

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Zarządzanie ryzykiem kredytowym migracji i niewykonania zobowiązań w portfelu handlowym banku w świetle nowych wymogów kapitałowych

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Lusztyn M.
Nauki o Finansach
|
2013
|
issue 1 (14)
178-192
EN
New capital requirements, introduced as a result of the financial crisis, imposed on some banking institutions an obligation to put in place an internal model covering the default and migration risks in the trading book, in addition to the risks covered already by VaR internal models. In contrast to the requirements for internal models of credit risk in the banking book introduced by the New Capital Accord, banks’ regulators did not impose in this case any particular model, leaving banks with freedom to choose the preferred approach. This paper presents, in the light of new supervisory regulations, differences in modeling of the credit risk in the trading book as compared to banking book requirements, focusing in particular on the so-called liquidity horizons. Based on the multifactor model, the impact on capital requirements of a choice of different liquidity horizons for the various creditworthiness levels of the issuers has been analysed, with particular focus on multiple defaults in a given capital horizon, resulting from the regulatory assumption of the constant level of risk.
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