Loan pricing under Basel capital requirements

Basel-2 capital adequacy: Computing the dfairT capital charge for loan commitment dtrueT credit risk

This research makes two contributions: (i) to price analytically put option and extension premium embedded in a borrower-extendible commitment, and (ii) to compute the dfairT capital charge that corresponds to the commitment dtrueT credit risk. In doing so, the procedure replaces the BIS accountingbased concepts of credit-conversion factor, principal-risk factor, and initial term to maturity of...

Basel II : Capital Requirements for Equity Investment Portfolios

The Basel Accords represent landmark financial agreements for the regulation of commercial banks. The main purpose of the accords was to strengthen the soundness and stability of the international banking system by providing a minimum standard for capital requirements. In 2004, the Basel Committee proposed new guidelines, which have become known as Basel II. We give a short overview of the Base...

New Basel Capital Accord

Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs

Using data from three countries (US, Italy and Australia) and surveying related studies from several other countries in Europe, we investigate the effects of the New Basel Capital Accord on bank capital requirements for small and medium sized enterprises (SMEs). We find that, for all the countries, banks will have significant benefits, in terms of lower capital requirements, when considering sm...

Pricing strategies under heterogeneous service requirements

This paper analyzes a communication network with heterogeneous customers. We investigate priority queueing as a way to differentiate between these users. Customers join the network as long as their utility (which is a function of the queueing delay) is larger than the price of the service. We focus on the specific situation in which two types of users play a role: one type is delay-sensitive (‘...