Bogie Ozdemir

Standard & Poor's

Director, Risk Solutions

130 King Street West

Suite 1100, PO Box 486

Toronto, Ontario M5X 1E5

Canada

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 4,012

SSRN RANKINGS

Top 4,012

in Total Papers Downloads

8,097

CITATIONS
Rank 25,500

SSRN RANKINGS

Top 25,500

in Total Papers Citations

10

Scholarly Papers (9)

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 4,120 (1,308)

Abstract:

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 1,379 (8,831)
Citation 3

Abstract:

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 811 (15,811)
Citation 2

Abstract:

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

4.

Discount Rate for Workout Recovery: An Empirical Study

Number of pages: 45 Posted: 08 Jun 2006 Last Revised: 28 Oct 2007
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 593 (33,306)
Citation 5

Abstract:

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

5.

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 0 (553,825)

Abstract:

Advanced Internal-Ratings-Based (A-IRB) Approach, IFRS 9, Probability of Default (PD), Loss given Default (LGD), Exposure at Default (EaD), Expected Loss (EL)

6.

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 0 (62,297)

Abstract:

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

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

Abstract:

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

Abstract:

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

Abstract:

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