Standardised approach for credit risk

[michsant]

Hi!! I'm an italian student,nice to meet you!
Has anyone a simulation of the standardised approach for credit risk? Excel sheet,I mean..
I'm working on the revisions to the standardised approach
Thank you very much

 

[jairamjana]

I am not knowledgeable with Part II much but I think Jon Gregory's book on Counterparty Credit Risk and Credit Value Adjustment is mainly used so based on that guess.. I will just link you to a number of spreadsheets from that material
http://www.cvacentral.com/books/credit-value-adjustment/spreadsheets/

Hope this is helpful..

 

[QuantMan2318]

I think he means the Standardized Approach to Credit Risk as given by Basel II and currently under revision under Basel III. @michsant, do you mean the Credit risk exposure calculation based on credit ratings? We cannot give the Excel Sheet as prepared by @David Harper CFA FRM and co. as it is available only to paid members. However, in case you need the old Risk weights, you will find these resources useful:

http://www.bis.org/publ/bcbs128.pdf where you will find the Risk Weights for SA for credit risk under Basel II
http://www.bis.org/bcbs/publ/d347.pdf where you will find the latest consultative paper for Credit Risk SA

In case you meant the SA approach for Counter Party Credit Risk, you will find it in the same bis site. In case you still need an Excel based on the above, please don't hesitate to contact me, I might be able to prepare an Excel sheet based on the above, its just the sum of risk weight*exposure
Please excuse me if I am wrong
Thanks

 

[michsant]

@QuantMan2318 @jairamjana thank you for your answers.
I've to make a comparison between the SA to credit risk under Basel II and the revisions proposed in the last consultative document,so i asked for an excel spreadsheet with the RWA because i have to make many simulation of an italian bank's portfolio.
@QuantMan2318 can you send me an Excel sheet with the RWA? Sorry but i don't speak very well English..
Thanks

 

[QuantMan2318]

Dear @michsant
I happened to have some time today, therefore I did manage to prepare a very simple Excel.
I have prepared it for the older SA approach to Credit Risks based on Basel II which of course is currently applicable under Basel III. Please check it out and do confirm if this is what you wanted.

BT members, you may also find this file that calculates the SA to Credit Risk useful. (its nothing really, just a simple Excel with Basic calculation)

 

[michsant]

@QuantMan2318 thank you so much!!!

 

[QuantMan2318]

Good luck with your project on the simulation!

 

[yasemin]

Hi!! I'm an italian student,nice to meet you!
Has anyone a simulation of the standardised approach for credit risk? Excel sheet,I mean..
I'm working on the revisions to the standardised approach
Thank you very much

Hello there,
my name ist Yasemin. I am a student from Germany - writing my Thesis about the same topic maybe we can help each other. I'm about to start today with the excel sheet though.
Thinking of only calculating for exposure classes for
Institutions, Corporates and Reatail
and then comparing the probable extra equity from the BCBS d347
for now

so, yeah, let me know

 

[michsant]

Hi Yasemin! nice to meet you..yeah it's a good idea.. we can talk on facebook if you want and compare our work about this topic.
Let me know,please

 

[yasemin]

Sure
https://www.facebook.com/yasemin.ko...10207364882977264&comment_tracking={"tn":"R"}

its not possible to search for my name on facebook. this link should work though