skip to content
Final Basel III modelling : implementation, impact and implications Preview this item
ClosePreview this item
Checking...

Final Basel III modelling : implementation, impact and implications

Author: Ioannis S Akkizidis; Lampros Kalyvas
Publisher: Cham, Switzerland : Palgrave Macmillan, [2018]
Edition/Format:   Print book : EnglishView all editions and formats
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  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Additional Physical Format: (GyWOH)har180405852
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Ioannis S Akkizidis; Lampros Kalyvas
ISBN: 3319704249 9783319704241
OCLC Number: 1006302685
Description: xxvii, 321 pages ; 25 cm
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. .
Responsibility: Ioannis Akkizidis, Lampros Kalyvas.

Abstract:

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.--

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/1006302685> # Final Basel III modelling : implementation, impact and implications
    a schema:CreativeWork, schema:Book ;
   library:oclcnum "1006302685" ;
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/sz> ;
   schema:about <http://dewey.info/class/346.082/e23/> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/5299992558#Topic/banking_law> ; # Banking law
   schema:about <http://experiment.worldcat.org/entity/work/data/5299992558#Topic/credit_mathematical_models> ; # Credit--Mathematical models
   schema:about <http://experiment.worldcat.org/entity/work/data/5299992558#Topic/financial_services_industry_risk_management> ; # Financial services industry--Risk management
   schema:about <http://id.loc.gov/authorities/classification/K1066> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/5299992558#Topic/asset_liability_management_law_and_legislation> ; # Asset-liability management--Law and legislation
   schema:about <http://experiment.worldcat.org/entity/work/data/5299992558#Topic/banks_and_banking_international_law_and_legislation> ; # Banks and banking, International--Law and legislation
   schema:about <http://experiment.worldcat.org/entity/work/data/5299992558#Topic/banks_and_banking_accounting_law_and_legislation> ; # Banks and banking--Accounting--Law and legislation
   schema:author <http://experiment.worldcat.org/entity/work/data/5299992558#Person/akkizidis_ioannis_s> ; # Ioannis S. Akkizidis
   schema:author <http://experiment.worldcat.org/entity/work/data/5299992558#Person/kalyvas_lampros> ; # Lampros Kalyvas
   schema:bookFormat bgn:PrintBook ;
   schema:datePublished "2018" ;
   schema: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.--"@en ;
   schema:description "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. ."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/5299992558> ;
   schema:inLanguage "en" ;
   schema:isSimilarTo <http://worldcat.org/entity/work/data/5299992558#CreativeWork/> ;
   schema:name "Final Basel III modelling : implementation, impact and implications"@en ;
   schema:productID "1006302685" ;
   schema:workExample <http://worldcat.org/isbn/9783319704241> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/1006302685> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/5299992558#Person/akkizidis_ioannis_s> # Ioannis S. Akkizidis
    a schema:Person ;
   schema:familyName "Akkizidis" ;
   schema:givenName "Ioannis S." ;
   schema:name "Ioannis S. Akkizidis" ;
    .

<http://experiment.worldcat.org/entity/work/data/5299992558#Person/kalyvas_lampros> # Lampros Kalyvas
    a schema:Person ;
   schema:familyName "Kalyvas" ;
   schema:givenName "Lampros" ;
   schema:name "Lampros Kalyvas" ;
    .

<http://experiment.worldcat.org/entity/work/data/5299992558#Topic/asset_liability_management_law_and_legislation> # Asset-liability management--Law and legislation
    a schema:Intangible ;
   schema:name "Asset-liability management--Law and legislation"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/5299992558#Topic/banks_and_banking_accounting_law_and_legislation> # Banks and banking--Accounting--Law and legislation
    a schema:Intangible ;
   schema:name "Banks and banking--Accounting--Law and legislation"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/5299992558#Topic/banks_and_banking_international_law_and_legislation> # Banks and banking, International--Law and legislation
    a schema:Intangible ;
   schema:name "Banks and banking, International--Law and legislation"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/5299992558#Topic/credit_mathematical_models> # Credit--Mathematical models
    a schema:Intangible ;
   schema:name "Credit--Mathematical models"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/5299992558#Topic/financial_services_industry_risk_management> # Financial services industry--Risk management
    a schema:Intangible ;
   schema:name "Financial services industry--Risk management"@en ;
    .

<http://worldcat.org/entity/work/data/5299992558#CreativeWork/>
    a schema:CreativeWork ;
   schema:isSimilarTo <http://www.worldcat.org/oclc/1006302685> ; # Final Basel III modelling : implementation, impact and implications
    .

<http://worldcat.org/isbn/9783319704241>
    a schema:ProductModel ;
   schema:isbn "3319704249" ;
   schema:isbn "9783319704241" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.