Basel IV (inbunden)
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Format
Inbunden (Hardback)
Språk
Engelska
Antal sidor
464
Utgivningsdatum
2018-08-08
Upplaga
2nd Edition
Förlag
Wiley-VCH Verlag GmbH
Dimensioner
247 x 177 x 44 mm
Vikt
907 g
Antal komponenter
1
ISBN
9783527509621
Basel IV (inbunden)

Basel IV

The Next Generation of Risk Weighted Assets

Inbunden Engelska, 2018-08-08
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In December 2017 the Basel committee finalised its work on the reform of the Basel III framework. Together with requirements already published in 2015 and 2016, the Basel committee changes all approaches for the calculation of RWA and the corresponding Pillar III disclosure rules. This package of new standards from the Basel Committee, which is unofficially called "Basel IV", is now the most comprehensive package of modifications in the history of banking supervision. The banking industry will face major challenges in implementing these new rules. The second edition of the "Basel IV" handbook is updated with all publications up to March 2018 and also extensively enhanced with additional details, examples and case studies. The aim is to convince the reader that we are facing a new framework called "Basel IV" and not just a fine adjustment of the existing Basel III regulations. This book covers all new approaches for the calculation of RWA: - the standardised approach (CR-SA) and the IRB approach for credit risk, - the new standardised approach for counterparty credit risk (SA-CCR), - both the standardised approach and internal models approach from the "fundamental review of the trading book" (SBA and IMA) - the basic approach (BA-CVA) and standardised approach (SA-CVA) for the CVA risk, - all new approaches (SEC-IRBA, SEC-ERBA, SEC-SA, IAA) for securitisations (incl. STS), - the approaches for the calculation of RWA for equity positions in investment funds (LTA, MBA, FBA) - the new standardised approach for operational risk (SA-OpRisk) Because of the strong relation to the Pillar I requirements, the second edition covers the topics of interest rate risk in the banking book (IRRBB), large exposures and TLAC again. Additionally, the book contains a detailed description of the Pillar III disclosure requirements. With the aid of a high-profile team of experts from countries all over the globe, the complexity of the topic is reduced, and important support is offered.
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Övrig information

Martin Neisen is a partner at PwC in Frankfurt and head of the global Basel IV initiative of PwC. With extensive experience and technical expertise in the German and European banking industry, Mr Neisen has more than 15 years of project and audit experience with banks and financial services providers. In particular, he advises institutions on issues relating to the entire spectrum of banking supervision and risk management. Stefan R?th is a Senior Manager in the Regulatory Management division of PwC in Frankfurt; he advises banks and financial services providers on all aspects of banking supervision. Currently, he focuses on the impacts of "Basel IV" on the banking world. He has already given numerous lectures at specialist conferences and published several articles on this topic.

Innehållsförteckning

Foreword 13 Preface 15 1. Chapter: Revision of the Standardised Approach for Credit Risk 17 1.1 Introduction 17 1.2 General aspects 19 1.2.1 Exposures to sovereigns 21 1.2.2 Exposures to public sector entities 22 1.2.3 Exposures to multilateral development banks 22 1.2.4 Exposures to banks 23 1.2.5 Exposures to corporates 28 1.2.6 Specialised lending 30 1.2.7 Subordinated debt instruments, equity and other capital instruments 32 1.2.8 Retail exposures 33 1.2.9 Exposures secured by real estate/Real estate exposure class 34 1.2.10 Additional risk weights for positions with currency mismatch 51 1.2.11 Off-balance sheet items 52 1.2.12 Defaulted exposures 53 1.2.13 Other assets 54 1.3 Use of external ratings 54 1.3.1 Recognition process for external ratings by national supervisors 54 1.3.2 Mapping of external ratings and use of multiple ratings 56 1.4 Credit risk mitigation techniques 58 1.5 Conclusions 62 Recommended Literature 64 2. Chapter: The Future of the IRB Approach 65 2.1 Introduction of the fundamentals of the IRB Approach (Basel II) 67 2.1.1 A non-quantitative introduction to the IRB risk weight formula 67 2.1.2 The adoption of the IRB Approach 73 2.1.3 Calculation of RWA and EL 74 2.1.4 Minimum conditions for entry and ongoing use 81 2.1.5 Approval and post-approval process: Home/host coordination 88 2.1.6 Decision for application 89 2.2 Basel Committee's initiatives to improve the IRB Approach 90 2.2.1 Introduction 90 2.2.2 Scope of application of internal models 90 2.2.3 Partial use of the IRB Approach 94 2.2.4 Risk parameter floors as an instrument of RWA variability reduction 97 2.2.5 Parameter estimation practices 99 2.2.6 Expected impact on banks 102 2.2.7 Conclusion 106 2.3 EBA regulatory reform and the revised supervisory assessment methodology 107 2.4 Definition of Default 109 2.4.1 Past-due criterion in the definition of default 111 2.4.2 Indications of unlikeliness to pay 113 2.4.3 Application of the definition of default in external data 117 2.4.4 Consistency of the application of default definition 118 2.4.5 Application of default definition for retail exposures 118 2.4.6 Criteria for the return to the non-defaulted status 119 2.4.7 Materiality thresholds 120 2.4.8 Implementation of changes 121 2.4.9 Impact of new default definition on RWA 122 2.5 Risk estimates 122 Recommended Literature 138 3. Chapter: The New Standardised Approach for measuring Counterparty Credit Risk (SA-CCR) 139 3.1 Counterparty credit risk 139 3.1.1 Definition of counterparty credit risk 139 3.1.2 Measuring counterparty credit risk in the EU 139 3.1.3 Background and motives for introducing the SA-CCR approach 141 3.2 Side note: Calculating EAD with the current exposure method 141 3.3 Measurement of counterparty credit risk according to SA-CCR 145 3.3.1 Exposure at Default 145 3.3.2 Current replacement cost 145 3.3.3 Potential future exposure 147 3.3.4 Calculation example: EAD determination under SA-CCR 158 3.4 Use of simplified approaches 159 3.4.1 Simplified SA-CCR 160 3.4.2 Revised original exposure method 161 3.5 Expected impact on the banking industry 161 Recommended Literature 162 4. Chapter: The new securitisation framework 163 4.1 Introduction 163 4.2 The securitisation framework under Basel II 164 4.2.1 Scope and definitions 164 4.2.2 Exclusion of securitised exposure from the calculation of risk-weighted exposure amount 165 4.2.3 Treatment of securitisation exposures 167 4.3 Revisions to the securitisation framework under Basel IV 168 4.3.1 Criticism of the existing rules 168 4.3.2 New approaches and a revised hierarchy for the determination of risk-weighted exposure amounts 171 4.3.3 Risk weights for securitisation positions when complying with STC criteria 184 4.4 General Conclusions 189 Recommended Literature 190 5. Chapter: Capital Requirements for Bank's Equit