The element of absolute novelty brought about by the « Basel II » agreement
consists in the multiple approaches that can be used by banks when calculating the
capital requirements for loan and operational risk. By implementing the solutions
offered by “Basel II”, the Romanian loan-supplying institutions which
will choose either the standard approach or the advanced one will be able to use
the ratings provided by an external loan evaluation agency that will be set up for
this particular purpose.
In order to develop such an entity, it is essential to create a rating system based
on quantitative analysis that will enable a correct assessment of the probability
of non-payment according to the “Basel II” requirements.
The tests performed on the models used in the present research study have pointed
out the fact that the loan risk quantitative assessment and the setting up of an
organization specialized in its external assessment in Romania are both necessary
and possible. Taking these opportunities is however conditioned by the creation of
an information system that may secure the periodical influx of valid and sufficient
data for the adequate methodological calibers, under conditions of autonomy and transparency.