Essays about: "Basel Accords"

Showing result 1 - 5 of 24 essays containing the words Basel Accords.

  1. 1. THE MARKET'S REACTION TO THE BASEL IV ANNOUNCEMENT

    University essay from Göteborgs universitet/Graduate School

    Author : Sofie Björk; Erika Venäläinen; [2020-07-07]
    Keywords : Capital Requirements; Basel; Banking Performance; Event Study; JEL Classifications; G14; G21; G28; G32;

    Abstract : Stricter capital requirement for banks is one of the key measures to make the banking system more resilient and eventually counteract financial crises. Established by the Basel Committee on Banking Supervision (BCBS) since 1988, the Basel Accords are a series of regulatory acts of bank capital requirements. READ MORE

  2. 2. Developing an Advanced Internal Ratings-Based Model by Applying Machine Learning

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Aso Qader; William Shiver; [2020]
    Keywords : Internal-Ratings Based Approach; Machine Learning; Zero-Inflated Beta Regression; Capital Requirement; Basel Accords;

    Abstract : Since the regulatory framework Basel II was implemented in 2007, banks have been allowed to develop internal risk models for quantifying the capital requirement. By using data on retail non-performing loans from Hoist Finance, the thesis assesses the Advanced Internal Ratings-Based approach. READ MORE

  3. 3. Estimation of Loss Given Default Distributions for Non-Performing Loans Using Zero-and-One Inflated Beta Regression Type Models

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Carolina Ljung; Maria Svedberg; [2020]
    Keywords : Loss Given Default; Non-Performing Loans; Internal Ratings Based Approach; Basel Accords; Zero-and-One Inflated Beta Regression; Bayesian Inference; Förlust vid fallissemang; Icke-presterande lån; Intern riskklassificeringsmetod; Basel; Utvidgad betaregression; Bayesiansk inferens;

    Abstract : This thesis investigates three different techniques for estimating loss given default of non-performing consumer loans. This is a contribution to a credit risk evaluation model compliant with the regulations stipulated by the Basel Accords, regulating the capital requirements of European financial institutions. READ MORE

  4. 4. The Effectiveness of the Basel Accords : Evidence from European Banks

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO); Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Alfred Persson; Petra Marcusson; [2019]
    Keywords : Basel Accord; regulatory arbitrage; bank regulation; data envelopment analysis; bank efficiency;

    Abstract : Purpose:The purpose is to investigate the adequacy of the Basel Accords to fulfill the underlying ideas of reducing risk and stabilizing the financial sector, or if it allows banks to use regulatory arbitrage to maintain a desired productive efficiency- and risk level. Methodology:A two-step analysis is constructed where each bank’s efficiency is first estimated, followed by a panel data regression on the efficiency-score and on a proxy for bank risk. READ MORE

  5. 5. Transition Matrices Conditional on Macroeconomic Cycles: A Portfolio Stress-Test Application

    University essay from Göteborgs universitet/Graduate School

    Author : Jesper Karlsson; [2018-07-04]
    Keywords : Risk Management; Migration Analysis; Intensity Models; IFRS 9; Basel Accords; Portfolio Stress Test;

    Abstract : Transition matrices show the probabilities of credit rating migrations for a pool of ratings within a particular industry, geographical area, time-horizon, etc. Regulation, in the form of Basel accords, has opted for standards in banking that among other techniques use transition matrices, and thus the probability of default, for internally-based risk-assessment, as well as incorporating the external credit rating in the capital requirement calculation. READ MORE