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Measuring, assessing and comparing basel I, II, III on a portfolio of loans allocated by a Lebanese bank to SMEs

Show simple item record Bou Abdo, Celine 2019-11-27T12:42:02Z 2019-11-27T12:42:02Z 2017
dc.identifier.citation Bou Abdo, C. (2017). Measuring, assessing and comparing basel I, II, III on a portfolio of loans allocated by a Lebanese bank to SMEs (Master's thesis, Notre Dame University-Louaize, Zouk Mosbeh, Lebanon). Retrieved from en_US
dc.description MSFRM -- Faculty of Business Administration and Economics, Notre Dame University, Louaize, 2017; "A thesis submitted in partial fulfillment of the requirements for the degree of the Master of Science in Financial Risk Management (MSFRM)"; ; Includes bibliographical references (leaves 76-79). en_US
dc.description.abstract Purpose: The objective of this thesis is to estimate and compare the capital requirements of an SME portfolio belonging to a Lebanese Commercial Bank under different regulatory frameworks, Basel I, Basel II and Basel III, in addition to illustrating the calculation of the capital adequacy ratio to comply with the requirements of BDL and BCCL. Design/methodology/approach: The sample used consists of a portfolio of loans granted by a Lebanese commercial bank to 1,099 different clients as of June 30, 2017. The study aims first at demonstrating the several approaches (Standardized Approach, IRB Approach, with and without supporting factor approach) that calculate the capital requirements under Basel Accords and second revealing the steps applied in order to implement the procedure following the BCCL Requirements. Findings: The findings of the study revealed that the theoretical models do not comply with the real facts. Moreover, it showed that the introduction of the supporting factor to Basel III has a positive impact on the credit lending for SMEs and a negative impact on the bank by not having sufficient capital to face stressed economy. Research limitations: One of the limitations of this study is the lack of transparency of the Lebanese banking sector. Another limitation is related to the credit risk management procedure implemented by the bank. Practical implications: The results of this research draw a comparative approach between the theoretical part (Basel Accords) and the credit risk management procedure applied in Lebanon under the BCCL requirements. Originality/value: This study is the first academic paper that tackles in details the implementation of a credit risk management procedure as per BCCL requirements, through a concrete Lebanese bank portfolio of loans. en_US
dc.format.extent viii, 96 leaves ; color illustrations
dc.language.iso en en_US
dc.publisher Notre Dame University-Louaize en_US
dc.rights Attribution-NonCommercial-NoDerivs 3.0 United States *
dc.rights.uri *
dc.subject.lcsh Basle Accord--1988
dc.subject.lcsh Basel II--(2004 June 26)
dc.subject.lcsh Basel III--(2010)
dc.subject.lcsh Banks and banking--Lebanon
dc.subject.lcsh Bank loans--Lebanon
dc.subject.lcsh Banks and banking--Risk management
dc.title Measuring, assessing and comparing basel I, II, III on a portfolio of loans allocated by a Lebanese bank to SMEs en_US
dc.type Thesis en_US
dc.rights.license This work is licensed under a Creative Commons Attribution-NonCommercial 3.0 United States License. (CC BY-NC 3.0 US)
dc.contributor.supervisor Naimy, Viviane, Ph.D. en_US
dc.contributor.department Notre Dame University-Louaize. Graduate Division en_US

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