International Finance and Accounting Handbook

Exhibit 3.7 shows the impact of the November 2001 modified risk weighting function on the capital requirements under the IRB Fou ...

of a 40, 45, 50, or 75% LGD. Evidence suggests that historical LGD for bank loans is significantly lower than 50%^45 and therefo ...

dustry into “haves and have-nots.” For example, some anecdotal estimates suggest that no more than 15 U.S. banks will choose to ...

the LGD increases, although the PD decreases offset the LGD increases so as to keep expected losses constant. BIS II is based on ...

ized Model, (2) The Internal Ratings-Based (IRB) Foundation Approach, and (3) The Advanced IRB Approach. In the Standardized Mod ...

APPENDIX B 3 • 19 APPENDIX B: BIS II TREATMENT OF RETAIL EXPOSURES UNDER THE INTERNAL RATINGS-BASED APPROACH The retail portfoli ...

where the correlation is calibrated to equal 0.15. As in the BIS II proposals, the LGD is set at 50% for the IRB Foundation Appr ...

have higher rates of estimated default and higher loss given default (LGD), the cor- relation among retail products is lower tha ...

Bank for International Settlements. “The New Basel Capital Accord,” January 2001(a). Bank for International Settlements. “Long-t ...

Gully, B., W. Perraudin, V. Saporta. “Risk and Economic Capital for Combined Banking and Insurance Activities.” Paper presented ...

Theodore, S. S. “Rating Methodology: Bank Credit Risk (An Analytical Framework for Banks in Developed Markets.)” Moody’s Investo ...

PART II FINANCIAL ANALYSIS CHAPTER 4 Foreign Investment Analysis CHAPTER 5 International Treasury Management CHAPTER 6 Managemen ...

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4 • 1 CHAPTER 4 FOREIGN INVESTMENT ANALYSIS David K. Eiteman University of California, Los Angeles CONTENTS 4.1 Introduction 1 4 ...

with direct (as distinct from portfolio) investments. Examples range from purchase of new equipment to replace existing equipmen ...

Cash payment for any additionalengineering or design work to be incurred if a decision is made to invest. Care must be taken no ...

The top-down or bottom-up simplification is important, because, in practice, one or the other is often applied to pro forma inco ...

(c) Cost of Capital. Cost of capital is the discount rate used to equate present and future cash flows. This discount rate is mo ...

Under most conditions, NPV and IRR lead to the same decision. However, differ- ent decisions may result under certain circumstan ...

License fees. Interest on parent-supplied debt. Principal repayment of parent-supplied debt. Liquidating dividends. Transfer pr ...