Assessment of Credit Risk Approaches in Relation with Competitiveness Increase of the Banking Sector

Citation data:

Journal of Competitiveness, ISSN: 1804-171X, Vol: 4, Issue: 2, Page: 69-84

Publication Year:
2012
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Repository URL:
http://publikace.k.utb.cz/handle/10563/1002896; http://hdl.handle.net/10563/1002896
DOI:
10.7441/joc.2012.02.05
Author(s):
Cipovová, Eva; Belás, Jaroslav
Publisher(s):
Tomas Bata University in Zlin; Univerzita Tomáše Bati ve Zlíně (UTB); Tomas Bata University in Zlín
Tags:
credit risk; Standardized approach; FIRB approach; expected and unexpected loss; leverage ratio; capital adequacy; Basel III.
article description
The article is focused on a presentation and analysis of selected methods of credit risk management in relation with competitiveness increase of the banking sector. The article is defined credit risk approaches under the Basel III gradually. Aim of this contribution constitutes various methods of credit risk management and effects of their usage on regulatory capital amount in respect of corporate exposures. Optimal equity amount in relation to the risk portfolio presents an essential prerequisite of performance and competitiveness growth of commercial banks. Gradually capital requirements using Standardized Approach and Internal Based Approach in a case of used and unused techniques of credit risk reduce has been quantified. We presume that sophisticated approach means significant saving for bank’s equity which increases competitiveness of banking sector also. Within the article, quantification of capital savings in case of Standardized (with and without assigned external ratings) and Foundation Internal Based Approach at the selected credit portfolio has been effected.