<p><strong>Basel II Implementation</strong></p><p><strong>A Guide to Developing and Validating a compliant Internal Risk Rating System</strong></p><p>Introduction xi<br/>Chapter 1<br/>Risk Ratings System Design 1<br/>Overview 1<br/>The Use of Credit Risk Assessment Templates in IRRS 2<br/>The Use of Quantitative Models in IRRS 6<br/>The Use of Hybrid Models in IRRS 10<br/>The Use of Retail Models in IRRS 14<br/>The Use of LGD Models in IRRS 16<br/>The Choice of LGD Discount Rate 19<br/>Discount Rate for Workout Recoveries: An Empirical Study 21<br/>Conclusions 63<br/>Chapter 2<br/>Risk Ratings System Quantification 65<br/>Overview 65<br/>Risk Rating Philosophy 67<br/>Long-run PD 77<br/>Downturn LGD 96<br/>Downturn EAD 122<br/>Downturn LGD: A Case Study 124<br/>Establishing a Master Scale 134<br/>Stress Testing 138<br/>EAD Estimation 171Chapter 3<br/>Validation of Internal Risk Rating System 183<br/>Overview 183<br/>Confirmation of the Conceptual Soundness and Initial Risk Quantification<br/>of the Design of the IRRS 184<br/>Confirmation of Risk Rating System Operations 200<br/>Annual Examination of the Overall Performance<br/>of the Risk Rating System 203<br/>Validation of Mappings between Internal and<br/>External Risk Rating Systems 269<br/>Annual Health Check 271<br/>Governance 271<br/>Conclusions 278<br/>Chapter 4<br/>Pillar II, Challenges, and Dealing with Procyclicality 281<br/>Introduction 281<br/>Background Definitions 282<br/>Some Pillar II Implementation Issues 290<br/>Capital Planning and Capital Adequacy Assessment<br/>Framework with Respect to Pillar II 296<br/>Conclusions 303</p><p></p>