Business and Industrial Section, Royal Statistical Society
Annual General Meeting
On 5th December 2008 at 4.00 pm
Venue: 12 Errol Street, London
Refreshments: Tea/Coffee from 3.30.
Meeting organiser: Jake Ansell
Talk
Statistics and the Regulation of Credit Risk
Dr Alan Forrest, HBoS
Modern international financial regulation, in particular the 2005 Basel
II Accord, requires lending institutions, such as banks, to set aside
money (Regulatory Capital) to guard against unexpected losses caused by
a variety of risks including Credit Risk. Meeting, or even understanding
these regulations requires an appreciation of statistical concepts such
as correlated uncertainty and extreme events, and many UK financial
institutions have found they must bring new statistical understanding to
their Regulatory Capital calculations. This talk aims to show how
statistical thinking has influenced the content and implementation of
the Basel II Accord.
--
The University of Edinburgh is a charitable body, registered in
Scotland, with registration number SC005336.
|