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The Resource Final Basel III modelling : implementation, impact and implications, Ioannis Akkizidis, Lampros Kalyvas

Final Basel III modelling : implementation, impact and implications, Ioannis Akkizidis, Lampros Kalyvas

Label
Final Basel III modelling : implementation, impact and implications
Title
Final Basel III modelling
Title remainder
implementation, impact and implications
Statement of responsibility
Ioannis Akkizidis, Lampros Kalyvas
Creator
Contributor
Author
Subject
Language
eng
Summary
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.--
Assigning source
Provided by publisher
Cataloging source
YDX
http://library.link/vocab/creatorName
Akkizidis, Ioannis S
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
Kalyvas, Lampros
http://library.link/vocab/subjectName
  • Banking law
  • Credit
  • Asset-liability management
  • Banks and banking
  • Banks and banking, International
  • Financial services industry
  • Asset-liability management
  • Banking law
  • Banks and banking
  • Banks and banking, International
  • Credit
Label
Final Basel III modelling : implementation, impact and implications, Ioannis Akkizidis, Lampros Kalyvas
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Dimensions
25 cm
Extent
xxvii, 321 pages
Isbn
9783319704241
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other control number
9783319704241
System control number
(OCoLC)1006302685
Label
Final Basel III modelling : implementation, impact and implications, Ioannis Akkizidis, Lampros Kalyvas
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Dimensions
25 cm
Extent
xxvii, 321 pages
Isbn
9783319704241
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other control number
9783319704241
System control number
(OCoLC)1006302685

Library Locations

    • Biddle Law LibraryBorrow it
      3400 Chestnut Street, Philadelphia, Pennsylvania, 19104, US
      39.954941 -75.193362
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