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Final Basel III modelling : implementation, impact and implications
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Final Basel III modelling : implementation, impact and implications
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Book
Final Basel III modelling : implementation, impact and implications
Available to read in the library!
Overview
This title provides a concise and practical guidance on the implementation analysis of the new revised standards of the Basel Committee on Banking Supervision (BCBS) on the supervision of the international banking system. Based on publicly available data on default rates and realised loss-given-default rates, it provides an analysis of credit and market risk, assessing the extent to which the new framework on risk-based and leverage ratio requirements affects the modelling of banking risks. Moreover, it provides a detailed analysis of the Fundamental Review of the Trading Book (FRTB), which changes the philosophy for the risk valuation and capital requirements of the market risk, and of the latest developments on the credit valuation adjustments (CVA) framework. It also examines the impact of the final calibration of operational risk parameters on the level of capital requirements.
Publisher
Palgrave Macmillan
ISBN
9783319704241
Item info:
1
item available
1
item total in all locations
| Call Number | Copies | Material | Location |
|---|---|---|---|
| HG1615.A45 2018 | 1 | BOOK | BUSINESS |
