Theoretical and Applied Economics
No. 1 / 2009 (530)
Developing a Rating Model on a Statistical Basis
Academy of Economic Studies, Bucharest
Tudor Alexandru Ganea
Titu Maiorescu University, Bucharest
Abstract. We consider that, starting from 2007, in order to deal with the competition, the banks from Romania will have to be prepared to take and effectively manage higher risks, both on their own behalf, and on the behalf of their clients, since the transition to the calculation methodology set up by the new Capital Accord (Basel II) is bound to determine the artificial decrease of the solvency indicator.
The very conception of this article has been triggered by two significant phenomenons. First, the banks from Romania have become increasingly interested in developing and enhancing methods and procedures of risk assessment. Second, the Basel Committee on Banking Supervision, followed by the European Commission, has imposed a series of standards referring to the estimation of some crucial indicators on a banking level, under the title of „Basel II”: PD (Probability of default), LGD (Loss given default) and EAD (Exposure at default).
In this respect, in 2006, the Romanian government enacted the Decree no. 99 (sanctioned and modified by the Law no. 227/04.07.2007), together with a series of regulations. The decree contains new banking regulatory provisions applicable to credit companies starting with the 1st of January, 2007, the date of Romania’s adherence to the European Union.
Keywords: credit risk; internal rating models; stress-testing.
Contents
- Simultaneous Equations Models Used in the Study of Some Issues Related to the Corruption
and Performance of Services in the Public Health System
Tudorel Andrei
Ani Matei
Bogdan Oancea
- Conceptual and Technical Study Regarding Future Accounting Regulation for SMEs in Europe
Adela Deaconu
Irimie Popa
Anuta Buiga
Melinda Fulop
- Developing a Rating Model on a Statistical Basis
Vasile Dedu
Tudor Alexandru Ganea
- Drafting Multiannual Local Budgets by Economic-Mathematical Modelling of the Evolution of Revenues
Ioan Radu
Viorel Lefter
Minodora Ursacescu
Cleopatra Sendroiu
Mihai Cioc
- The EMU is Done. How about the Fiscal Union and the Next Future of the United Europe?
Liviu C. Andrei
- The Prospects of the Corporate Taxation Agreement in the European Union
Gheorghe Matei
Pârvu Daniela