Economic and regulatory capital allocation for revolving retail exposures [An article from: Journal of Banking and Finance]

by R. Perli, W.I. Nayda

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This digital document is a journal article from Journal of Banking and Finance, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
We present two internal capital allocation models and compare the capital ratios they generate with those prescribed by the latest revision of Basel's New Capital Accord proposal for advanced retail portfolios, which allows for explicit future margin income recognition. Given a test portfolio of credit card exposures that we assemble, we find that Basel's ratios are closer to those generated by our models for low credit risk segments. We attribute the discrepancies to the different ways Basel and our models account for future margin income, to Basel's assumptions about asset correlations and to one model taking macroeconomic conditions into account.

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