Essays about: "Basel Accords"

Showing result 11 - 15 of 25 essays containing the words Basel Accords.

  1. 11. International Capital- and Liquidity Regulation. A challenge for Chinese banks?

    University essay from Göteborgs universitet/Graduate School

    Author : Emil Murid; Di Wang; [2016-10-07]
    Keywords : Basel III; China; Banking Regulation; Net Stable Funding Ratio; Capital Adequacy Ratio;

    Abstract : The Chinese Banking Regulatory Commission started the implementation of global capital- and liquidity standards for commercial banks in China by issuing the first regulatory elements of the Basel III accords in June 2012. This paper analyses a sample of 163 commercial banks operating in China between 2007 and 2014 and studies their Tier 1 Capital Ratio and Net Stable Funding Ratio to see whether commercial banks in China can comply with the requirements of the regulations. READ MORE

  3. 12. On Modeling Operational Risk using Extreme Value Theory

    University essay from Lunds universitet/Matematisk statistik

    Author : Valentin Kästner; [2016]
    Keywords : Mathematics and Statistics;

    Abstract : The main goal of this thesis is to show how operational risk can be measured if even the use of standard extreme value theory fails to explain single catastrophic events in the tail of the distribution. Against the background of regulatory requirements imposed by the Basel Accords, an Advanced Measurement Approach (AMA) is developed for a dataset of operational losses occurred in US businesses between 1985 and 2008. READ MORE

  4. 13. The Growth of the Swedish Corporate Bond Market

    University essay from Göteborgs universitet/Graduate School

    Author : Sofie Björhn; Sofie Johnsson; [2015-07-07]
    Keywords : Corporate bonds; Corporate bond market; Swedish corporate bond market; Financial market; Capital market; Credit market; Regulations; Basel Accords; CRD; Capital requirements directive; Central bank rate; Risk; High yield; Investment grade; GDP; Market development; Financial Innovation; Financial crisis;

    Abstract : Abstract: Since the early 2000s the Swedish corporate bond market has experienced a significant growth. This study does, through a quantitative method, research and discuss the factors that are the main drivers of growth in the Swedish corporate bond market and how they are related. READ MORE

  5. 14. On Value-at-Risk and the more extreme : A study on quantitative market risk measurements

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Dennis Lindholm; [2015]
    Keywords : Expected shortfall; EVT; RiskMetrics; GARCH; Value-at-Risk; Basel;

    Abstract : Inline with the third pillar of the Basel accords, quantitative market risk measurements are investigate and evaluated comparing JP Morgan’s RiskMetrics and Bollerslev’s GARCH with the Peek over Threshold and Block Maxima approaches from the Extreme Value Theory framework. Value-at-Risk and Expected Shortfall (Conditional Value-at-Risk), with 95% and 99% confidence, is predicted for 25 years of the OMXS30. READ MORE

  6. 15. Alternative Methods for Value-at-Risk Estimation : A Study from a Regulatory Perspective Focused on the Swedish Market

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Fredrik Sjöwall; [2014]
    Keywords : Basel Accords; market risk; Value-at-Risk; non-parametric model; historical simulation; weighting of observations; backtesting; Baselregelverket; marknadsrisk; Value-at-Risk; icke-parametrisk modell; historisk simulering; vägning av observationer; backtesting;

    Abstract : The importance of sound financial risk management has become increasingly emphasised in recent years, especially with the financial crisis of 2007-08. The Basel Committee sets the international standards and regulations for banks and financial institutions, and in particular under market risk, they prescribe the internal application of the measure Value-at-Risk. READ MORE