The implications of the new capital adequacy rules for portfolio management of credit assets |
| |
| Affiliation: | 2. Department of Orthopedic Surgery, University of Iowa Hospitals and Clinics, Iowa City, Iowa;3. Orthopedics, Orlando Regional Medical Center, Orlando, Florida;4. Department of Orthopaedic Surgery, University of Southern California Keck School of Medicine, Los Angeles, California;1. Óbuda University, John von Neumann Faculty of Informatics, Physiological Controls Group, Bécsi út 96/b, H-1034 Budapest, Hungary;2. Semmelweis University, 1st Department of Paediatrics, Bókay János u. 53-54, H-1083 Budapest, Hungary;1. Faculty of Medicine, University of Tsukuba, 1-1-1 Tennodai, Tsukuba, Ibaraki 305-8577, Japan;2. Kanagawa University of Human Services, 1-10-1 Heisei-cho, Yokosuka, Kanagawa 238-8522, Japan;3. Faculty of Engineering, Information and Systems, University of Tsukuba, 1-1-1 Tennodai, Tsukuba, Ibaraki 305-8573, Japan;1. Malaysia Japan International Institute of Technology, University Technology Malaysia International Campus, 54100, Kuala Lumpur, Malaysia;2. Department of Materials, Imperial College London, London, United Kingdom. SW7 2AZ;1. Division of Hematology/Oncology, Mayo Clinic, Jacksonville, FL;2. Clinical Chief for Genitourinary Medicine, Professor of Oncology, Roswell Park Cancer Institute, Buffalo, NY;3. Professor of Oncology, Karmanos Cancer Institute, Wayne State University, Detroit, MI |
| |
| Abstract: | Over the past several years, there has been an extensive discussion among practitioners and academics about whether and how a portfolio management approach could help banks to better manage risk capital and create shareholder value. In this article, the authors argue that there are four key drivers which require banks to move from a transactional to a more portfolio management like approach when managing credit assets. These are: structural changes in the credit markets, inefficiencies of risk transfer in lending markets, ballooning debt levels in the US, and the proposed changes for capital adequacy. The authors see the latter not as a one-time change in capital adequacy rules, but more as a first step towards full convergence between risk capital and regulatory capital for credit risk. These changes require banks to accelerate their efforts to build first class portfolio management skills and capabilities. Achieving best practice credit portfolio management is rewarded with attractive opportunities for shareholder value creation and enables bank to successfully compete going forward. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
