portada Final Basel III Modelling: Implementation, Impact and Implications (en Inglés)

Final Basel III Modelling: Implementation, Impact and Implications (en Inglés)

Formato

Libro Físico

Autor

Ioannis Akkizidis

Lampros Kalyvas

Editorial

Palgrave MacMillan

Idioma

Inglés

N° páginas

321

Encuadernación

Tapa Blanda

Dimensiones

23.4x15.6x1.9 cm

Peso

0.49 kg.

ISBN13

9783030099589

Categorías

Banca
Industrias de hostelería y servicios

Final Basel III Modelling: Implementation, Impact and Implications (en Inglés)

Ioannis Akkizidis (Autor) · Lampros Kalyvas (Autor) · Palgrave MacMillan · Tapa Blanda

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Reseña del libro "Final Basel III Modelling: Implementation, Impact and Implications (en Inglés)"

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.