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Theoretical and Applied Economics
No. 5 / 2006 (500)

Credit Risk Quantitative Evaluation in the Basel II Perspective

Nicolae Dardac
Bogdan Moinescu
Academia de Studii Economice Bucuresti

Abstract. The element of absolute novelty brought about by the « Basel II » agreement consists in the multiple approaches that can be used by banks when calculating the capital requirements for loan and operational risk. By implementing the solutions offered by “Basel II”, the Romanian loan-supplying institutions which will choose either the standard approach or the advanced one will be able to use the ratings provided by an external loan evaluation agency that will be set up for this particular purpose.

In order to develop such an entity, it is essential to create a rating system based on quantitative analysis that will enable a correct assessment of the probability of non-payment according to the “Basel II” requirements.

The tests performed on the models used in the present research study have pointed out the fact that the loan risk quantitative assessment and the setting up of an organization specialized in its external assessment in Romania are both necessary and possible. Taking these opportunities is however conditioned by the creation of an information system that may secure the periodical influx of valid and sufficient data for the adequate methodological calibers, under conditions of autonomy and transparency.

Keywords: loan risk internal models; non-payment probability; euristic and quantitative analysis; external loan evaluation organizations; rating system.

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