Final Basel III Modelling

Implementation, Impact and Implications

Business & Finance, Industries & Professions, Industries
Cover of the book Final Basel III Modelling by Ioannis Akkizidis, Lampros Kalyvas, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Ioannis Akkizidis, Lampros Kalyvas ISBN: 9783319704258
Publisher: Springer International Publishing Publication: June 28, 2018
Imprint: Palgrave Macmillan Language: English
Author: Ioannis Akkizidis, Lampros Kalyvas
ISBN: 9783319704258
Publisher: Springer International Publishing
Publication: June 28, 2018
Imprint: Palgrave Macmillan
Language: English

This book 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.

It provides an overview of the modelling properties that govern the application of the internal models for credit and market risk, and provides evidence on the overall impact on banks’ cost of funding due to the implementation of Basel reforms as shaped in December 2017. Finally, the book provides practical examples and hands-on applications for assessing the new BCBS framework.

 

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

This book 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.

It provides an overview of the modelling properties that govern the application of the internal models for credit and market risk, and provides evidence on the overall impact on banks’ cost of funding due to the implementation of Basel reforms as shaped in December 2017. Finally, the book provides practical examples and hands-on applications for assessing the new BCBS framework.

 

More books from Springer International Publishing

Cover of the book Smart STEM-Driven Computer Science Education by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Building Energy Modeling with OpenStudio by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Rapidly Changing Securities Markets by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Powertrain Instrumentation and Test Systems by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Divided Languages? by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Pattern Recognition Applications and Methods by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Functional Urologic Surgery in Neurogenic and Oncologic Diseases by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Social Informatics by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Surgical Treatment of Colorectal Problems in Children by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Charles Olivier and the Rise of Meteor Science by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Science of Crystal Structures by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Herbert C. Kelman: A Pioneer in the Social Psychology of Conflict Analysis and Resolution by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Atomic Diffusion in Stars by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Sustainable Value Chain Management by Ioannis Akkizidis, Lampros Kalyvas
Cover of the book Computational Science and Its Applications – ICCSA 2018 by Ioannis Akkizidis, Lampros Kalyvas
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy