Mortgage credit risk, regulatory standards and the Basel II banking supervision reforms From: Housing Finance International | Date: September 1, 2002| Author: Duebel, Hans-Joachim | Copyright International Union for Housing Finance Sep 2002. Provided by ProQuest LLC.Copyright information

MORTGAGE CREDIT RISK

Modeling portfolio credit risk and its implications for the solvency risk of banks is one of the greatest challenges in finance. Despite this widely held belief, the Basel Committee has taken the route to depart from the current, largely risk insensitive capital requirements and move focus to bank-external (rating agency) and bank-internal credit risk models as a tool to determine regulatory capital. While work on "Basel II" is still not completed, this article un...

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