國立虎尾科技大學 |

Final Basel III modelling = implementation, impact and implications /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Final Basel III modelling/ by Ioannis Akkizidis, Lampros Kalyvas.
其他題名:	implementation, impact and implications /
作者:	Akkizidis, Ioannis.
其他作者:	Kalyvas, Lampros.
出版者:	Cham :Springer International Publishing : : 2018.,
面頁冊數:	xxvii, 321 p. :digital ; : 24 cm.;
Contained By:	Springer eBooks
標題:	Banking law. -
電子資源:	http://dx.doi.org/10.1007/978-3-319-70425-8
ISBN:	9783319704258

Final Basel III modelling = implementation, impact and implications /
Akkizidis, Ioannis.

Final Basel III modellingimplementation, impact and implications /[electronic resource] :by Ioannis Akkizidis, Lampros Kalyvas. - Cham :Springer International Publishing :2018. - xxvii, 321 p. :digital ;24 cm.

1. Introductory Remarks -- 2. The Roadmap to the Final Basel III -- 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.

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.

ISBN: 9783319704258

Standard No.: 10.1007/978-3-319-70425-8doiSubjects--Topical Terms:

564343
Banking law.

LC Class. No.: K1066 / .A355 2018

Dewey Class. No.: 346.082

Final Basel III modelling = implementation, impact and implications /
LDR:02572nam a2200289 a 4500 001 927086
003 DE-He213
005 20190103132409.0
006 m d
007 cr nn 008maaau
008 190626s2018 gw s 0 eng d
020 $a 9783319704258 $q (electronic bk.)
020 $a 9783319704241 $q (paper)
024 7 $a 10.1007/978-3-319-70425-8 $2 doi
035 $a 978-3-319-70425-8
040 $a GP $c GP
041 0 $a eng
050 4 $a K1066 $b .A355 2018
082 0 4 $a 346.082 $2 23
090 $a K1066 $b .A315 2018
100 1 $a Akkizidis, Ioannis. $3 1206077
245 1 0 $a Final Basel III modelling $h [electronic resource] : $b implementation, impact and implications / $c by Ioannis Akkizidis, Lampros Kalyvas.
260 $a Cham : $b Springer International Publishing : $b Imprint: Palgrave Macmillan, $c 2018.
300 $a xxvii, 321 p. : $b digital ; $c 24 cm.
505 0 $a 1. Introductory Remarks -- 2. The Roadmap to the Final Basel III -- 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.
520 $a 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.
650 0 $a Banking law. $3 564343
650 0 $a Credit $x Mathematical models. $3 784576
650 0 $a Asset-liability management $x Law and legislation. $3 564706
650 0 $a Banks and banking $x Accounting $x Law and legislation. $3 564707
650 0 $a Banks and banking, International $x Law and legislation. $3 564708
650 1 4 $a Finance. $3 559073
650 2 4 $a Financial Services. $3 1108918
700 1 $a Kalyvas, Lampros. $3 1206078
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer eBooks
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-70425-8
950 $a Economics and Finance (Springer-41170)