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Theoretical and Applied Economics
No. 4 / 2009 (533)

The Internal Capital Adequacy Assessment Process ICAAP – a New Challenge for the Romanian Banking System

Arion Negrilă
The Bucharest Academy of Economic Studies

Abstract. In the near future, Romanian banks will have to implement the second pillar of the Basel II (ICAAP) Agreement. Given this new challenge (in addition to the ongoing economic and financial crisis), my article analyzes and presents both the main requirements of the process, in compliance with the NBR regulation draft, as well as some of the principles and methods used by advanced banks.
Thus, I’ve analyzed some of the methods for the assessment of economic capital requirements for credit, market and operational risks (while also explaining the difference between economic capital and regulatory capital), based on the theory of unexpected losses, sustained by case studies.

Keywords: risks; economic capital; unexpected loss; default; Value-at-Risk.

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