Bogie Ozdemir

Standard & Poor's

Director, Risk Solutions

130 King Street West

Suite 1100, PO Box 486

Toronto, Ontario M5X 1E5

Canada

  • Standard & Poor's

SCHOLARLY PAPERS

9

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9,149

CITATIONS
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SSRN RANKINGS

Top 32,164

in Total Papers Citations

17

Scholarly Papers (9)

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1.

Can Basel III Work? Examining the New Capital Stability Rules by the Basel Committee: A Theoretical and Empirical Study of Capital Buffers

Number of pages: 32 Posted: 21 Feb 2010
Peter Miu, Bogie Ozdemir and Michael Giesinger
McMaster University - DeGroote School of Business, Standard & Poor's and Barclays
Downloads 4,808 (1,586)
Citation 1

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Basel II, Basel III, Pillar I, Pillar II, Capital Buffers, Internal Capital Adequacy Assessment Process (ICAAP), Capital Adequacy, Risk Appetite, Procyclicality, Risk Capital, Available Capital, Conditional and Unconditional Value-at-Risk (VaR), Tier 1 Capital Adequacy Ratio

2.

Estimating and Validating Long-Run Probability of Default With Respect to Basel II Requirements

Number of pages: 45 Posted: 02 Nov 2007
Peter Miu and Bogie Ozdemir
McMaster University - DeGroote School of Business and Standard & Poor's
Downloads 1,628 (10,102)
Citation 2

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Basel II, Long-Run Probability of Default, Asset Correlation, Stress Condition, Validation, Confidence Interval, Hypothesis Test

3.

Stress-Testing Probability of Default and Migration Rate with Respect to Basel II Requirements

Number of pages: 33 Posted: 21 Mar 2009
Peter Miu and Bogie Ozdemir
McMaster University - DeGroote School of Business and Standard & Poor's
Downloads 1,320 (14,127)
Citation 4

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Basel II, Stress Testing, Correlation, Probability of Default and Transition,

4.

Adapting Basel's A-IRB Models for IFRS 9 Purposes

Number of pages: 35 Posted: 06 Aug 2016
Peter Miu and Bogie Ozdemir
McMaster University - DeGroote School of Business and Standard & Poor's
Downloads 739 (32,957)

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Advanced internal rating-based (A-IRB) approach; IFRS 9; Basel; internal models; probability of default (PD); loss given default (LGD); exposure at default (EaD); expected loss (EL); provisions; impairment loss estimation; secured lending

5.

Discount Rate for Workout Recovery: An Empirical Study

Number of pages: 45 Posted: 08 Jun 2006 Last Revised: 28 Oct 2007
Brooks Brady, Peter Chang, Peter Miu, Bogie Ozdemir and David C. Schwartz
Standard & Poor's Risk Solutions, Standard & Poor's - Quantitative Analytics, McMaster University - DeGroote School of Business, Standard & Poor's and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 653 (38,931)
Citation 7

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Basel II, Loss Given Default, Recovery Risk, Risk Premium, Discount Rate, Workout Recovery, Defaulted Bonds and Loans

6.

Adapting the Basel II Advanced Internal-Ratings-Based Models for International Financial Reporting Standard 9

Journal of Credit Risk, Vol. 13, No. 2, 2017
Number of pages: 32 Posted: 23 Jun 2017
Peter Miu and Bogie Ozdemir
McMaster University - DeGroote School of Business and Standard & Poor's
Downloads 1 (649,346)
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Advanced Internal-Ratings-Based (A-IRB) Approach, IFRS 9, Probability of Default (PD), Loss given Default (LGD), Exposure at Default (EaD), Expected Loss (EL)

7.

Information Asymmetry and Bank Regulation: Can the Spread of Debt Contracts be Explained by Recovery Rates?

Journal of Financial Intermediation, Forthcoming
Posted: 03 Nov 2011
Wenchien Liu, Peter Miu, Yuanchen Chang and Bogie Ozdemir
Chung Yuan Christian University - Department of Finance, McMaster University - DeGroote School of Business, National Chengchi University - College of Commerce and Standard & Poor's

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Recovery rate, Information asymmetry, Bank regulation, Corporate governance, Credit rating, Glass-Steagall Act, Financial Modernization Act

8.

Basel Requirement of Downturn Lgd: Modeling and Estimating Pd & Lgd Correlations

Journal of Credit Risk, 2006
Posted: 13 Jun 2006
Peter Miu and Bogie Ozdemir
McMaster University - DeGroote School of Business and Standard & Poor's

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Basel II, correlation, probability of default, downturn loss given default, economic capital, Point-in-Time, Through-the-Cycle, credit risk models, calibrations, simulations

9.

Practical and Theoretical Challenges in Validating Basel Parameters: Key Learnings from the Experience of a Canadian Bank

Journal of Credit Risk, Vol. 1, No. 4, Fall 2005
Posted: 10 May 2006
Peter Miu and Bogie Ozdemir
McMaster University - DeGroote School of Business and Standard & Poor's

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Canadian bank, Basel, back-testing, point-in-time, through-the-cycle, PD, TTC, PIT