Introduction

PARAMETERIZATION OF THE INTERNAL RATINGS-BASED APPROACH

1. Development and Validation of Key Estimates for Capital Models

2. Explaining the Correlation in Basel II: Derivation and Evaluation

3. Explaining the Credit Risk Elements in Basel II

4. Loss Given Default and Recovery Risk: From Basel II Standards to Effective Risk Management Tools

IMPLEMENTATION AND TESTING OF COMPLIANT IRB SYSTEMS

5. Implementation of an IRB Compliant Rating System

6. Stress Tests of Banks’ Regulatory Capital Adequacy: Application to Tier 1 Capital

7. Advanced Credit Model Performance Testing to Meet Basel Requirements

8. Point-in-Time Versus Through-the-Cycle Ratings

9. Basel II in the Light of Moody’s KMV Evidence

SECURITIZATIONS AND RETAIL PORTFOLIOS

10. Basel II Capital Adequacy Rules for Securitizations and for Retail Exposures

11. IRB-Compliant Models in Retail Banking

REGULATORY EXPECTATIONS AND DISCLOSURE ISSUES

12. Regulatory Priorities and Expectations in the Implementation of the IRB Approach

13. Market Discipline and Appropriate Disclosure in Basel II

IMPLEMENTING THE ADVANCED MEASUREMENT APPROACH FOR OPERATIONAL RISK

14. Implementing a Basel II Scenario-Based AMA for Operational Risk

15. Loss Distribution Approach in Practice

16. An Operational Risk Ratings Model Approach to Better Measurement and Management of Operational Risk

LOSS DATABASE AND INSURANCE

17. Constructing an Operational Event Database

18. Insurance and Operational Risk