Final Basel III modelling : implementation, impact and implications

Resource Information

The work Final Basel III modelling : implementation, impact and implications represents a distinct intellectual or artistic creation found in Biddle Law Library - University of Pennsylvania Law School. This resource is a combination of several types including: Work, Language Material, Books.

Label

Final Basel III modelling : implementation, impact and implications

Title remainder

implementation, impact and implications

Statement of responsibility

Ioannis Akkizidis, Lampros Kalyvas

Creator

• Akkizidis, Ioannis S
• Akkizidis, Ioannis S

Contributor

• Kalyvas, Lampros
• Kalyvas, Lampros

Author

• Akkizidis, Ioannis S
• Akkizidis, Ioannis S
• Kalyvas, Lampros
• Kalyvas, Lampros

Subject

• Banks and banking -- Accounting | Law and legislation
• Banks and banking -- Accounting | Law and legislation
• Banks and banking -- Accounting | Law and legislation
• Banks and banking, International -- Law and legislation
• Banks and banking, International -- Law and legislation
• Banks and banking, International -- Law and legislation
• Credit -- Mathematical models
• Credit -- Mathematical models
• Credit -- Mathematical models
• Financial services industry -- Risk management
• Asset-liability management -- Law and legislation
• Asset-liability management -- Law and legislation
• Asset-liability management -- Law and legislation
• Banking law
• Banking law
• Banking law

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

Illustrations

illustrations

Index

index present

Literary form

non fiction

Nature of contents

bibliography