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2017, vol. 65, br. 5-6, str. 365-380
Tretman kreditnog rizika u post-kriznoj reformi Bazelskih pravila - modifikacija standardizovanog i osnovnog IRB pristupa
Pavlović International Bank a.d., Bijeljina, Republic of Srpska, Bosnia and Herzegovina
Ključne reči: kreditni rizik; Bazelski standardi; reforma Bazelskih pravila; standardizovani pristup (SA); F-IRB pristup; CRA rejtinzi; verovatnoća default-a (PD); rizikom-ponderisana aktiva (RWA)
Sažetak
Okvir za kreditne rizike Bazel II standarda nije uspeo na adekvatan način da pruži odgovor u uslovima krize zbog čega je neminovnost njegove revizije imperativ koji se postavlja pred Bazelski komitet. Sveobuhvatna reforma pristupa koji determinišu rizikom-ponderisanu aktivu u svom fokusu imaju upravo pravila vezana za kreditni rizik, jer je on njen najveći konstituent. Pravci evolucije pristupa za kreditni rizik naziru se iz konsultativnih dokumenata Bazelskog komiteta, i ovaj rad ima prvenstveno za cilj kritički osvrt na njihove nastupajuće promene sa primarnim aspektima na standardizovani pristup (SA) i osnovni IRB pristup (F-IRB). U tom smislu, apostrofirane su ključne tačke revizije i urađena je komparativna analiza u odnosu na trenutno aktuelnu regulativu. Kao dodatni benefiti istraživanja predstavljeni su predlozi koji treba da analitički nadograde aparaturu, posebno u delu F-IRB pristupa, gde su identifikovana pitanja korelacije, primene modela i njihove validacije. Jedno od zanimljivih rešenja koje se predlaže za unapređenje sistema kreditnih rizika bi predstavljao treći, hibridni pristup, koji bi podrazumevao konstrukciju modela od strane nacionalnih regulatora i primenu u njihovim jurisdikcijama. Dominantni zaključak celokupne evaluacije je potreba za radikalnim promenama okvira za kreditne rizike, jer su empirijske analize dokazale velike manjkavosti i anomalije obračuna rizikom-ponderisane aktive. Zbog toga se predlozi u konsultativnim dokumentima Bazelskog komiteta ne mogu smatrati korakom u pravom smeru jer je očigledna nedovoljna snaga za korenitim promenama pristupa koji se koriste za opisivanje pozicija izloženosti kreditnom riziku.
Reference
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O članku

jezik rada: engleski
vrsta rada: pregledni članak
DOI: 10.5937/EKOPRE1706365L
objavljen u SCIndeksu: 21.12.2017.

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