Essays about: "Basel Capital Accord"
Showing result 1 - 5 of 17 essays containing the words Basel Capital Accord.
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1. CARs In the Driver’s Seat: The Battle Between Capital and Stock Performance
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : After the financial crisis of 2008, the Basel Committee on Banking Supervision created the latest Accord for capital requirements: The Basel III Accord. Basel III set higher requirements for both quantity and quality of capital, with the aim to mitigate systemic risk. READ MORE
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2. Into the Trading Book: Estimating Expected Shortfall
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. READ MORE
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3. Banks' Adjustments to Basel III Capital Requirements : Empirical research on a sample of 359 banks between 2015 and 2021
University essay from Jönköping University/IHH, FöretagsekonomiAbstract : Background: Fifteen years after the Global Financial Crisis, and four years after the enactment of the Basel III Accord, our thesis aims to answer how banks adapted to the new capital requirements. The core objective of the Basel Committee of Banking Supervision was to improve regulation and supervision and address the previous legislation deficiencies. READ MORE
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4. Machine Learning in credit risk : Evaluation of supervised machine learning models predicting credit risk in the financial sector
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : When banks lend money to another party they face a risk that the borrower will not fulfill its obligation towards the bank. This risk is called credit risk and it’s the largest risk banks faces. According to the Basel accord banks need to have a certain amount of capital requirements to protect themselves towards future financial crisis. READ MORE
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5. The Effectiveness of the Basel Accords : Evidence from European Banks
University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)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