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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.--
Member of
Assigning source
Provided by publisher
Cataloging source
N$T
http://library.link/vocab/creatorName
Akkizidis, Ioannis S
Dewey number
346.082
Index
no index present
LC call number
K1066
Literary form
non fiction
Nature of contents
dictionaries
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
Label
Final Basel III modelling : implementation, impact and implications, Ioannis Akkizidis, Lampros Kalyvas
Instantiates
Publication
Antecedent source
unknown
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
1. Introductory Remarks -- 2. The Roadmap to Basel Iv -- 3. Impact Assessment Methodology -- 4. Credit Risk: Aspects of Implementation -- 5. Credit Risk: Quantitative Impact -- 6. Market Risk – Fundamental Review Of The Trading Book (Frtb) -- 7. Credit Valuation Adjustments -- 8. Revisions to Operational Risk -- 9. Output Floor, Leverage Ratio, and Other Regulatory Requirements.
Dimensions
unknown
Extent
1 online resource
File format
unknown
Form of item
online
Isbn
9783319704241
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • on1042561233
  • (OCoLC)1042561233
Label
Final Basel III modelling : implementation, impact and implications, Ioannis Akkizidis, Lampros Kalyvas
Publication
Antecedent source
unknown
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
1. Introductory Remarks -- 2. The Roadmap to Basel Iv -- 3. Impact Assessment Methodology -- 4. Credit Risk: Aspects of Implementation -- 5. Credit Risk: Quantitative Impact -- 6. Market Risk – Fundamental Review Of The Trading Book (Frtb) -- 7. Credit Valuation Adjustments -- 8. Revisions to Operational Risk -- 9. Output Floor, Leverage Ratio, and Other Regulatory Requirements.
Dimensions
unknown
Extent
1 online resource
File format
unknown
Form of item
online
Isbn
9783319704241
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • on1042561233
  • (OCoLC)1042561233

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