Téléchargez le livre : Final Basel III Modelling

Final Basel III Modelling

Implementation, Impact and Implications

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Éditeur :

Palgrave Macmillan


Paru le : 2018-06-28



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Description

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.
 
Pages
321 pages
Collection
n.c
Parution
2018-06-28
Marque
Palgrave Macmillan
EAN papier
9783319704241
EAN PDF
9783319704258
Informations sur l'ebook
Nombre pages copiables
3
Nombre pages imprimables
32
Taille du fichier
21770 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
60,12 €
EAN EPUB
9783319704258
Informations sur l'ebook
Nombre pages copiables
3
Nombre pages imprimables
32
Taille du fichier
22170 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
60,12 €

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