Developing a Rating Model on a Statistical Basis

摘要: We consider that, starting from 2007, in order to deal with the competition, banks Romania will have be prepared take and effectively manage higher risks, both on their own behalf, behalf of clients, since transition calculation methodology set up by new Capital Accord (Basel II) is bound determine artificial decrease solvency indicator. The very conception this article has been triggered two significant phenomenons. First, become increasingly interested developing enhancing methods procedures risk assessment. Second, Basel Committee Banking Supervision, followed European Commission, imposed a series standards referring estimation some crucial indicators banking level, under title „Basel II”: PD (Probability default), LGD (Loss given default) EAD (Exposure at default). In respect, 2006, Romanian government enacted Decree no. 99 (sanctioned modified Law 227/04.07.2007), together regulations. decree contains regulatory provisions applicable credit companies 1st January, date Romania’s adherence Union.