ON STATISTICAL ISSUES RAISED BY THE NEW BASEL CAPITAL ACCORD

Aiming at increasing the stability of the financial markets, the New Basel Capital Accord provides a set of rules for determining the minimum capital to cover the risks arising from three areas of the management: credit, operational and trading risks. It offers a great opportunity for statisticians to develop appropriate methods to accurately estimate the relevant risk components. In this paper we outline some of the issues that can be addressed via ad-hoc modifications of existing statistical methods. The focus is primarily on issues in measuring the credit risk components with particular attention to the probability of default.