@inproceedings{dcf6ceb0baba4e05aa8d765a58ffa97a,
title = "A comparative analysis of credit risk management models for banking industry using simulation",
abstract = "Risk management is an issue that has become increasingly important. Basel II Accord has been widely discussed since it was proposed. However, the comparative analysis of CreditMetrics with Basel II Accord has not been found in previous literatures. The objective of this study is to compare CreditMetrics with Basel II Accord using empirical data and simulation programs. Moreover, the fitness of the standard for Basel II Accord which proposed the minimum requirement of 8% of capital to risk-weighted assets is discussed in this study. The records of the data system in a bank listed by the Taiwan Stock Exchange Corporation (TSEC) were used as the empirical data in this research. The results showed that the expected loss calculated by the 8% capital ratio defined in Basel II is clearly lower than the Credit VaR obtained from the CreditMetrics model.",
keywords = "Basel II Accord, CreditMetrics, Value-at-Risk (VaR), credit risk",
author = "Chen, {Hsin Hung} and Shia, {Ben Chang} and Lee, {Hsiu Yu}",
year = "2011",
doi = "10.1007/978-3-642-23023-3_83",
language = "English",
isbn = "9783642230226",
series = "Communications in Computer and Information Science",
number = "PART 1",
pages = "554--562",
booktitle = "Applied Economics, Business and Development - International Symposium, ISAEBD 2011, Proceedings",
edition = "PART 1",
note = "2011 International Symposium on Applied Economics, Business and Development, ISAEBD 2011 ; Conference date: 06-08-2011 Through 07-08-2011",
}