Essays about: "basel framework"

Showing result 16 - 20 of 52 essays containing the words basel framework.

  1. 16. A study of the Basel III CVA formula

    University essay from

    Author : Rickard Olovsson; Erik Sundberg; [2017-07-03]
    Keywords : Basel III; Credit Value Adjustment; Counterparty Credit Risk; Credit Default Swap; Interest Rate Swap; Piecewise Constant Default Intensity; Bootstrapping; Expected Exposure; Internal Model Method;

    Abstract : In this thesis we compare the official Basel III method for computing credit value adjustment (CVA) against a model that assumes piecewise constant default intensities for a number of both market and fictive scenarios. CVA is defined as the price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk. READ MORE

  3. 17. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book

    University essay from KTH/Matematisk statistik

    Author : Katja Dalne; [2017]
    Keywords : Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

    Abstract : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). READ MORE

  4. 18. 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

  5. 19. Higher capital requirements and banks’ cost of capital : An empirical study of the Swedish major banks

    University essay from Umeå universitet/Företagsekonomi

    Author : John Gunell; Niklas Åhlund; [2017]
    Keywords : Modigliani Miller; Capital Requirements; Capital Structure; Banks; Cost of Capital; CAPM.;

    Abstract : In the wake of the financial crisis the systemic importance of banks for the stability of the financial system became evident. Finansinspektionen classifies the banks Nordea, Skandinaviska Enskilda Banken, Svenska Handelsbanken and Swedbank as systemically important for the Swedish financial system. READ MORE

  6. 20. Determinants of the spread of CET1 for European Banks : Quantitative study based on the 2016 EU-wide Stress test

    University essay from Umeå universitet/Företagsekonomi

    Author : Margaux Steiner; Marjolaine Marra; [2017]
    Keywords : CET1; capital adequacy ratio; bank regulation; spread; capital requirements; Europe;

    Abstract : Historically, banks have always had a central role in the economy. Their decisions do not only affect their shareholders and customers but the whole economic system. READ MORE