Essays about: "Internal Model Method IMM"

Found 2 essays containing the words Internal Model Method IMM.

  1. 1. A comparison of the Basel III capital requirement models for financial institutions

    University essay from Lunds universitet/Matematisk statistik

    Author : Sara Johannesson; Amanda Wahlberg; [2022]
    Keywords : Basel III; Internal Model Method IMM ; Standardized Approch for Counterparty Credit Risk SA-CCR ; Counterparty Credit Risk; Capital Requirement; Mathematics and Statistics;

    Abstract : The purpose of this report is to implement and compare the two Basel III standard methods on how to calculate the capital requirement for finan- cial institutions, related to counterparty credit risk. The models being the Standardized Approach for Counterparty Credit Risk (SA-CCR) and the Internal Model Method (IMM). READ MORE

  3. 2. Credit Valuation Adjustment: In theory and practice

    University essay from KTH/Matematisk statistik

    Author : Dan Franzén; Otto Sjöholm; [2014]
    Keywords : Basel II; Basel III; OTC Derivatives; Credit Valuation Adjustment; CVA;

    Abstract : This thesis is intended to give an overview of creditvaluation adjustment (CVA) and adjacent concepts. Firstly, the historicalevents that preceded the initiative to reform the Basel regulations and tointroduce CVA as a core component of counterparty credit risk are illustrated. READ MORE