【文件属性】：
文件名称：Retail Credit Risk Modeling and the Basel Capital Accord
文件大小：268KB
文件格式：PDF
更新时间：2013-01-25 03:25:42
Credit Risk Modeling
the Payment Cards Center of the Federal Reserve Bank of
Philadelphia held a workshop exploring retail credit risk modeling practices and evolving techniques.
The workshop was led by Paul Calem, a senior economist at the Board of Governors, Division of
Research and Statistics. Calem is currently involved in the Board's efforts supporting reforms to the
international Basel Capital Accord intended to refine risk-based bank capital standards.2 Existing credit
risk modeling practices in the banking industry are being evaluated by the international regulatory
community in the context of developing an internal ratings-based (IRB) approach to capital
requirements. While the broader effort encompasses both wholesale and retail lending, Calem's
comments and the workshop discussion focused specifically on the retail sector. As credit card
outstandings have become the fastest growing proportion of consumer debt, the application of risk
assessment models to regulatory capital requirements is a particularly relevant issue for the Payment
Cards Center. This paper provides highlights from Calem's presentation and the ensuing discussion and
is complemented by additional background information on the Basel Accord and industry capital
allocation practices.