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The impact of the IRB approach on the Swedish bank system
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
2016 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
IRK-modellern as effekt på det svenska banksystemet (Swedish)
Abstract [en]

Since the implementation of the Basel II framework in 2007, banks have been given the  opportunity to apply for the option to develop intern models for calculating their required capital. The purpose with this opportunity is that the capital requirements will correspond to the real risk exposure. This has been criticized, since there are incentives for the bank to do  an incorrect risk assessment intentionally and through that get a lower capital requirement. In this report we study how this opportunity affects the banks’ capitalization and if stricter capital requirements in fact leads to that the Swedish banks are better prepared for a financial crisis. The report also describes the risks that this opportunity to internal rating  causes. The study has been done by qualitative method where seven people, with different interests in the market, have been interviewed. By the answers given by the respondents and by earlier publications this report reveals that stronger capitalization is positive, but

that  the Basel framework causes a risk that the banks intentionally underestimates  their risks. Nor is it possible to conclude that the banks are better prepared for a crisis afterthe implementation. This is because the IRB approach is something new and therefore  not optimized and yet balanced.

Place, publisher, year, edition, pages
2016. , 57 p.
Series
TRITA-FOB, BoF-KANDIDAT-2016:56
Keyword [en]
Basel II, IRB approach, credit risk, capitalization
Keyword [sv]
Basel II, IRK-modeller, kreditrisk, kapitalisering
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-192140Archive number: 382OAI: oai:DiVA.org:kth-192140DiVA: diva2:958178
Supervisors
Examiners
Available from: 2016-09-06 Created: 2016-09-06 Last updated: 2016-09-06Bibliographically approved

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