Essays about: "basel ii"

Showing result 6 - 10 of 41 essays containing the words basel ii.

  1. 6. Fundamental review of the trading book - The new approach to measure market risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jonas Drakenberg; Samuel Hegnell; [2017]
    Keywords : Expected Shortfall; Value-at-Risk; Fundamental Review of the Trading Book; Bank for International Settlements; Basel Committee on Banking Supervision; Market risk; Parametric approach; Non-parametric approach; Business and Economics;

    Abstract : The Fundamental Review of the Trading Book sets the standard for the most recent regulatory framework for minimum capital requirement within market risk. It will be implemented gradually up until 2019 and will overhaul a major part of the current regulation. READ MORE

  3. 7. Modeling credit risk for an SME loan portfolio: An Error Correction Model approach

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Jonathan Lindgren; [2017]
    Keywords : Error Correction Model; Credit risk; Risk management; Regression; Econometrics; Mathematical analysis; Probability of Default; Loss Given Default; Finance; Mathematical modeling; Kreditrisk; Risk hantering; Finans; Ekonometri; Matematisk modellering; Sannolikhet för Fallissemang; Förlust givet Fallissemang;

    Abstract : Sedan den globala finanskrisen 2008 har flera stora regelverk införts för att säkerställa att banker hanterar risker på sunt sätt. Bland dessa regelverk är Basel II som infört kapitalkrav för kreditrisk som baseras på Sannolikhet för Fallissemang och Förlust Givet Fallissemang. READ MORE

  4. 8. The impact of the IRB approach on the Swedish bank system

    University essay from KTH/Fastigheter och byggande

    Author : Agnes Wenell; Simon Sjödin; [2016]
    Keywords : Basel II; IRB approach; credit risk; capitalization; Basel II; IRK-modeller; kreditrisk; kapitalisering;

    Abstract : Since the implementation of the Basel II framework in 2007, banks have been given the  opportunity to apply for the option to develop intern models for calculating their required capital. The purpose with this opportunity is that the capital requirements will correspond to the real risk exposure. READ MORE

  5. 9. Managing Market Risk in Europe: The Performance of Value-at-Risk Models in Different Economic Conditions and the Impact of Basel II.5 on Financial Stability

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Anastasia Skosyrskaya; Helena Zitzmann; [2015]
    Keywords : Value-at-Risk VaR ; Backtesting; Basel II.5; Market Risk Charges; Financial Crisis;

    Abstract : Major regulatory standards, like the Basel II.5 accord, refer to a bank's internal Value-at-Risk model for determining its respective amount of market risk and for imposing adequate capital charges on the bank. READ MORE

  6. 10. Diminishing Risk-Weights Under the Basel II Accord: A Sign of Better Credit Quality or Regulatory Arbitrage?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Boltenstål; Markus Falkman; [2015]
    Keywords : Basel II; model based approach; risk weights; capital requirements; credit ratings;

    Abstract : The Basel II-accord aimed to strengthen the financial system by making the banks more solvent. The Internal Ratings Based-model was introduced to create a better connection between risk held and regulatory capital. READ MORE