Theoretical and Applied Economics
No. 4 / 2009 (533)
The Internal Capital Adequacy Assessment Process ICAAP – a New Challenge for the Romanian Banking System
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.
Download the full article: 
Contents
- Transformation-Innovation or Patchwork? Juxtaposition of Public Policy Process
and the Role of Leadership in a Chaotic Environment: Is a New Paradigm in the Make?
Asghar Zomorrodian
- Towards a New Approach of the Economic Intelligence Process: Basic Concepts, Analysis Methods
and Informational Tools
Sorin Briciu
Marinela Vrîncianu
Florin Mihai
- Controversies Regarding the Economic Part Played by the State in Economy
Tiberiu Cristian Avrămescu
Emilia Ungureanu
- Loan Products Included in the Offer of Commercial Banks
Vasile Dedu
Adrian Enciu
- Research Methodologies for Management Information in Romania
Ofelia Aleca
Florin Mihai
Andrei Stanciu
Marinela Vrîncianu
