Essays about: "Basel II.5"

Found 2 essays containing the words Basel II.5.

1. 1. 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. 2. 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