英文标题：
《Assessing the Basel II Internal Ratings-Based Approach: Empirical
Evidence from Australia》
---
作者：
Silvio Tarca and Marek Rutkowski
---
最新提交年份：
2016
---
英文摘要：
The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk implements an asymptotic single risk factor (ASRF) model. Measurements from the ASRF model of the prevailing state of Australia\'s economy and the level of capitalisation of its banking sector find general agreement with macroeconomic indicators, financial statistics and external credit ratings. However, given the range of economic conditions, from mild contraction to moderate expansion, experienced in Australia since the implementation of Basel II, we cannot attest to the validity of the model specification of the IRB approach for its intended purpose of solvency assessment. With the implementation of Basel II preceding the time when the effect of the financial crisis of 2007-09 was most acutely felt, our empirical findings offer a fundamental assessment of the impact of the crisis on the Australian banking sector. Access to internal bank data collected by the prudential regulator distinguishes our research from other empirical studies on the IRB approach and recent crisis.
---
中文摘要：
基于巴塞尔协议II内部评级（IRB）的信用风险资本充足率方法采用了渐进单风险因素（ASRF）模型。ASRF模型对澳大利亚当前经济状况和银行业资本化水平的测量结果与宏观经济指标、金融统计和外部信用评级基本一致。然而，鉴于自巴塞尔协议II实施以来，澳大利亚经历了从温和收缩到适度扩张的一系列经济状况，我们无法证明IRB方法的模型规范对于其偿付能力评估的预期目的的有效性。随着新巴塞尔协议的实施，2007-09年金融危机的影响最为强烈，我们的实证研究结果为危机对澳大利亚银行业的影响提供了一个基本评估。通过获取保诚监管机构收集的内部银行数据，我们的研究不同于其他关于IRB方法和近期危机的实证研究。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--

---
PDF下载：
-->