Colateral in credit risk models

Colateral in credit risk models This paper is devoted to the description of personal and impersonal colateral and 2 models calculation of minimum cupital requirements based on NBCA. First, personal and impersonal colateral and 2 methodologies for calculation of minimum capital requirements were describe and then the possibilities of impersonal colateral in this models. For colateral were used cash in the same currency, exchange index and real estate. For comparison was used portfolio of 12 obligations, which received rating by external rating agency. At the end calculations of capital requirements of the Standardised Approach and the Foundation IRB with and without collateral were made and then the results were compared and commented.