Analysis of mathematical models. Basel II

A detailed description of mathematical models of estimating three main banking risks covered by the International Banking Supervision Basel II is given. The book conducts a reader from general approaches in assessing a certain risk to recommendations Basel II on specific types of bank operations, from the review of research on the effectiveness of the use of the models proposed in the Agreement to analyze their applicability in the practice of Russian banks. After a detailed consideration of the calculation models of certain types of risk (credit, market and operational), models of aggregation and calculation of the cumulative risk of the bank are analyzed in detail.
Work is focused, first of all, at employees of banks employed in the risk management and capital assessment of capital adequacy, it will be useful to researchers in risk management and students studying on the specialization "banking".
2nd edition corrected