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    chaly21
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    This document introduces the theoretical concepts for measuring credit risk exposure, loss given default, and probability of default according to the Basel II framework. It aims to apply these concepts to estimate the credit risk exposure of the international reserves portfolio held by the Central Bank of Bolivia. Key parameters for credit risk measurement are discussed at a high level with the goal of implementing the Basel II approach to analyze risk within the Central Bank's international reserves.

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    This document introduces the theoretical concepts for measuring credit risk exposure, loss given default, and probability of default according to the Basel II framework. It aims to apply these concepts to estimate the credit risk exposure of the international reserves portfolio held by the Central Bank of Bolivia. Key parameters for credit risk measurement are discussed at a high level with the goal of implementing the Basel II approach to analyze risk within the Central Bank's international reserves.

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    © All Rights Reserved
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    6 Ansichten1 Seite

    Abstract 6

    Hochgeladen von

    chaly21
    This document introduces the theoretical concepts for measuring credit risk exposure, loss given default, and probability of default according to the Basel II framework. It aims to apply these concepts to estimate the credit risk exposure of the international reserves portfolio held by the Central Bank of Bolivia. Key parameters for credit risk measurement are discussed at a high level with the goal of implementing the Basel II approach to analyze risk within the Central Bank's international reserves.

    Copyright:

    © All Rights Reserved
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    Markieren Sie unangemessene Inhalte
    von 1

    Introduction to the measurement of credit risk of International Reserves of CBB

    using Basel II approach

    Ral Alberto Balln F


    Abstract

    One of the key elements regarding investment portfolios is the measurement of credit risk. However, this
    measurement is not simple and it requires a quantitative, estimation of a number of parameters such as
    the exposure to credit default, the loss given the credit default, and the probability of default. This
    document attempts to introduce the theoretical concepts of the above mentioned parameters and then
    apply them by implementing the Basel II credit risk framework, in order to estimate the exposure to credit
    risk of the International Reserves of the Central Bank of Bolivia (CBB).

    Keywords: Credit risk, international reserves, Basel II, Central Bank

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