The book features a detailed overview of the revised Accord that highlights its major changes and includes comprehensive insight and guidance that advises on the Basel Accords three component pillars: Minimum Capital Requirement, Supervisory Review Process and Market Discipline. The volume, priced at Euros 128, has the following sections:

• Introduction
  Michael K. Ong
  Illinois Institute of Technology

SECTION 1: PARAMETERISATION OF THE INTERNAL RATINGS-BASED APPROACH

• Development and Validation of Key Estimates for Capital Models
  Michel Araten
  JPMorganChase & Co
• Explaining the Correlation in Basel II: Derivation and Evaluation
  Christian Bluhm; Ludger Overbeck
  HypoVereinsbank; University of Giessen
• Explaining the Credit Risk Elements in Basel II
  Simon Hills
  British Bankers Association
• Loss Given Default and Recovery Risk: From Basel II Standards to Effective Risk Management Tools
  Andrea Resti; Andrea Sironi
  Bergamo University; Luigi Bocconi University

SECTION 2: IMPLEMENTATION AND TESTING OF COMPLIANT IRB SYSTEMS

• Implementation of an IRB Compliant Rating System
  Sebastian Fritz, Michael Luxenburger and Thomas Miehe
  Deutsche Bank Group
• Stress Tests of Banks? Regulatory Capital Adequacy: Application to Tier 1 Capital
  Esa Jokivuolle; Samu Peura
  Bank of Finland; Sampo Plc
• Advanced Credit Model Performance Testing to Meet Basel Requirements
  Donald R. van Deventer; Xiaoming Wang
  Kamakura Corporation; Kamakura Corporation and University of Hawaii
• Point-in-Time Versus Through-the-Cycle Ratings
  Scott D. Aguais; Lawrence R. Forest, Jr; Elaine Y. L. Wong; Diana Diaz-Ledezma
  Barclays Capital
• Basel II in the Light of Moody's KMV Evidence
  Martti Purhonen
  Sampo Plc

SECTION 3: SECURITISATIONS AND RETAIL PORTFOLIOS

• Basel II Capital Adequacy Rules for Securitisations and for Retail Exposures
  Ashish Dev
  KeyCorp
• IRB-Compliant Models in Retail Banking
  Richard Norgate
  KPMG

SECTION 4: REGULATORY EXPECTATIONS AND DISCLOSURE ISSUES

• Regulatory Priorities and Expectations in the Implementation of the IRB Approach
  Ed Duncan
  ISDA
• Market Discipline and Appropriate Disclosure in Basel II
  Lawrence J. White
  Stern School of Business, New York University

SECTION 5: IMPLEMENTING THE ADVANCED MEASUREMENT APPROACH FOR OPERATIONAL RISK

• Implementing a Basel II Scenario-Based AMA for Operational Risk
  Ulrich Anders and Gerrit Jan van den Brink
  Dresdner Bank
• Loss Distribution Approach in Practice
  Antoine Frachot; Olivier Moudoulaud; Thierry Roncalli
  Groupe de Recherche Op?rationnelle; Global Risk Management; Credit Agricole SA
• An Operational Risk Ratings Model Approach to Better Measurement and Management of Operational Risk
  Anthony Peccia
  Bank of Montreal

SECTION 6: LOSS DATABASE AND INSURANCE

• Constructing an Operational Event Database
  Michael Haubenstock
  Capital One
• Insurance and Operational Risk
  John Thirlwell
  Operational Risk Research Forum