大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

The Impact of IRB Approach on the Credit Risk Exposure under Basel II

清水克俊 (名古屋大学大学院経済学研究科)

1. ホーム
2. セミナー・集中講義
3. セミナー
4. The Impact of IRB Approach on the Credit Risk Exposure under Basel II

大証寄附研究部門セミナーシリーズ 第34回

The Impact of IRB Approach on the Credit Risk Exposure under Basel II

清水克俊 (名古屋大学大学院経済学研究科)

This paper empirically investigates the impact of internal ratings-based (IRB) approach on the risk weight under Basel II. Assuming increasing cost of raising new capital when the requirement constraint is violated, this paper estimates the difference of unknown risk weight parameters between IRB and standardised approach, analyzes how Japanese banks adjusted the amount of risk-weighted assets, and calculates the saved amount of regulatory capital. Furthermore, this paper examines the competitive effect of optional IRB regime and calibrates the model to simulate the impact of more stringent capital requirement under Basel III.