Essays about: "basel framework"

Showing result 21 - 25 of 52 essays containing the words basel framework.

  1. 21. Capital requirements and bank profitability : A comparison between the large Swedish banks and niche banks

    University essay from Högskolan i Jönköping/IHH, Nationalekonomi

    Author : Arijan Stovrag; [2017]
    Keywords : capital requirements; capital ratios; bank profitability; niche banks; basel committee; the swedish financial supervisory authority; the riksbank;

    Abstract : Purpose: The purpose of this study is to describe and explain the relation of changes in capital requirements on the profitability of Swedish banks. Method: A mixed model approach is used. The quantitative approach is con-ducted through the collection and analysis of statistics from Swe-dish banks and financial institutions. READ MORE

  3. 22. On the risk relation between Economic Value of Equity and Net Interest Income

    University essay from KTH/Matematisk statistik

    Author : André Berglund; Carl Svensson; [2017]
    Keywords : ;

    Abstract : The Basel Committee has proposed a new Pillar 2 regulatory framework for evaluating the interest rate risk of a bank's banking book appropriately called Interest Rate Risk in the Banking Book. The framework requires a bank to use and report two different interest rate risk measures: Economic Value of Equity (EVE) risk and Net Interest Income (NII) risk. READ MORE

  4. 23. THE EFFECTS OF BASEL III ON THE SMALLER BANKS IN SWEDEN

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Mathias Gyllsten; Axel Helgason; [2016-09-05]
    Keywords : Basel III; capital coverage; liquidity requirements; niche banks;

    Abstract : Background: After the recent financial crisis, new regulations considering the banks’ capital coverage, liquidity, leverage and risk management was presented in a regulatory framework called Basel III. Purpose: The purpose of the research is to see how the smaller banks in Sweden have been affected by the Basel III regulations. READ MORE

  5. 24. The impact of the IRB approach on the Swedish bank system

    University essay from KTH/Fastigheter och byggande

    Author : Agnes Wenell; Simon Sjödin; [2016]
    Keywords : Basel II; IRB approach; credit risk; capitalization; Basel II; IRK-modeller; kreditrisk; kapitalisering;

    Abstract : Since the implementation of the Basel II framework in 2007, banks have been given the  opportunity to apply for the option to develop intern models for calculating their required capital. The purpose with this opportunity is that the capital requirements will correspond to the real risk exposure. READ MORE

  6. 25. 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