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  • Modelling bank loan LGD of corporate and SME segments: A case study
    Abstract: The aim of this paper is to propose a methodology to estimate loss given default (LGD) and apply it to a set of micro-data of loans to SME and corporations of an anonymous commercial bank from Central Europe LGD estimates are important inputs in the pricing of credit risk and the measurement of bank profitability and solvency Basel II Advance IRB Approach requires internally
  • Basel 4: IRB Credit Risk - KPMG
    Including the Basel Committee revisions to the Standardised Approach to Credit Risk and the new output floor2 in addition to the revisions to the IRB approach, KPMG experts estimate that over three quarters of European banks would see a fall in their CET 1 capital ratio (see Figure 3, where each point represents an IRB bank in the EBA Transparency data sample)
  • Corporate loans, banks internal risk estimates . . . - European Central Bank
    Abstract We use a unique dataset of ratings for euro area corporate loans from commercial banks’ internal rating-based (IRBs) systems and central banks’ in-house credit assessment systems (ICASs) to investigate whether banks’ IRB ratings underestimate the credit risk of their corporate loan portfolios when the latter are used as collateral in the Eurosystem’s monetary policy operations
  • Credit risk in European banks: The bright side of the internal ratings . . .
    Our empirical analysis is based on a novel panel data set of 177 Western European banks observed from 2008 to 2015, in the aftermath of the financial and economic crisis We find that IRB banks were able to curb the increase in credit risk driven by the macroeconomic slowdown better than banks under the standardized approach
  • Internal ratings-based approach (credit risk) - Wikipedia
    The IRB approach relies on a bank's own assessment of its counterparties and exposures to calculate capital requirements for credit risk The Basel Committee on Banking Supervision explained the rationale for adopting this approach in a consultative paper issued in 2001 [3] Such an approach has two primary objectives - Risk sensitivity - Capital requirements based on internal estimates are
  • Internal ratings-based (IRB) approach: new developments
    Source: ECB supervisory information Notes: This chart is based on survey data, which were collected in January 2023 from SSM banks using the IRB approach (with a reference date of December 2022) Banks were asked, for each of the exposure classes in question, whether their most relevant PD model had been recalibrated to include COVID-19 data
  • A Bank Enhances Its IRB Model for Basel Regulations
    The Client: A large European-based bank with a global reach Users: The credit risk team Under the Basel regulatory guidelines, banks are permitted to use their own estimated risk parameters for the purpose of calculating regulatory capital This is known as the internal ratings-based (IRB) approach for credit risk
  • Credit exposure | ECB Data Portal
    World (all entities, including Domestic banking groups and st Deposit-taking corporations ex All institutions Full sample (All banking group Loans and advances Not specified All exposures Carrying amount Closing balance sheet Position All currencies Euro
  • Study on Internal Rating Based (IRB) models in Europe
    PREAMBLE In this study, the European Banking Federation (EBF) examines the risk modelling practices of a sample of European banks that apply internal rating based (IRB) approaches for the calculation of the regula-tory capital requirement for credit risk in residential mortgages
  • Credit risk – internal ratings based approach - Bank of England
    Overview 4 1 This chapter sets out the Prudential Regulation Authority’s (PRA) proposals to implement the Basel 3 1 standards for the internal ratings based (IRB) approach to credit risk It also proposes amendments to the PRA’s expectations in respect of the IRB approach and the definition of default used for both the IRB approach and the standardised approach (SA) to credit risk 4 2 The
  • A quick manual to Basel IV and CRR III for IRB banks - PwC
    Due to the complexity and time-consuming nature of the implementation process, concerns are already being raised about the abilities of banks to meet the new regulatory requirements For EU banks, the CRR III binding deadline is in January 2025 For many non-EU countries, the deadlines for Basel IV implementation are generally set for 2025 or 2026
  • Credit risk under Basel 4 – Putting the seatbelts back on?
    2006: Basel 2 introduced the IRB approaches and permitted the use of internal models for credit risk; 2010: Basel 3 focused on strengthening the quality and quantity of a bank’s capital resources and expanded the risk coverage of the regulatory framework; and 2017: The final revisions were published in 2017 and included:





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