Tid: 8 september 2014 kl 16.15-17.00.Rum 3721, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 7. Karta!
Föredragshållare: Simon Måssebäck
Titel: A comparison of the IRB approach and the Standard Approach under CRR for purchased defaulted retail exposures. (Master Thesis)
Abstract We investigate under what circumstances the IRB approach under Regulation (EU) no 575/2013 (Capital Requirements Regulation) renders a lower capital requirement for purchased defaulted retail exposures than under the Standard Approach of the same regulation. We also discuss some alternative approaches to calculating the capital requirement for the mentioned exposures. The results show that it is only beneficial in a few cases to use the IRB approach compared to the Standard Approach. We can also see that the IRB approach in some cases renders a capital requirement that is clearly not reflecting the actual risk. Of the alternative approaches investigated, a Value-at-Risk approach seems most promising for further development.
|Sidansvarig: Filip Lindskog