Banking

Download From Basel 1 to Basel 3: The Integration of State-of-the-Art by Laurent Balthazar PDF

Posted On April 11, 2017 at 6:17 pm by / Comments Off on Download From Basel 1 to Basel 3: The Integration of State-of-the-Art by Laurent Balthazar PDF

By Laurent Balthazar

Show description

Read Online or Download From Basel 1 to Basel 3: The Integration of State-of-the-Art Risk Modeling in Banking Regulation PDF

Best banking books

Applications of Data Mining in E-Business and Finance

The appliance of knowledge Mining (DM) applied sciences has proven an explosive development in a growing number of diverse components of industrial, govt and technology. of an important company parts are finance, specifically in banks and insurance firms, and e-business, resembling net portals, e-commerce and advert administration companies.

Advanced Fixed Income Analysis, Second Edition

Every one new bankruptcy of the second one version covers a facet of the fastened source of revenue industry that has turn into appropriate to traders yet isn't really coated at a sophisticated point in latest textbooks. this can be fabric that's pertinent to the funding judgements yet isn't freely to be had to these no longer originating the goods.

Additional resources for From Basel 1 to Basel 3: The Integration of State-of-the-Art Risk Modeling in Banking Regulation

Sample text

We can see that, at least, an international regulation answers to a growing need for both a more secure financial system and some standards to develop a level playing field for international competition. 2 show that the use of capital ratios to establish minimum regulatory requirements has been tested for more than a century. But only after the numerous banking crises of the 1980s was it imposed as an international benchmark. Until then, even the banking sector was in favor of a more subjective system where the regulators could decide which capital requirements were suited for a particular bank as a function of its risk profile.

The risks concerned were: The interest rate risk and equities risk in the trading book (see below). The foreign exchange risk and commodities risk throughout the bank. The trading book is the set of positions in financial instruments (including derivatives and off-balance sheet items) held for the purpose of: Making short-term profits due to the variation in prices. Making short-term profits from brokering and/or market-making activities (the bid–ask spread). Hedging other positions of the trading book.

The result is that when a bank estimates that its economic capital is above the regulatory capital level, there is no problem. But if the regulatory capital level is higher than economic capital, it means that the bank has to maintain a capital level in excess of what it estimates as an adequate level, thereby destroying shareholder value. ” This means making an arbitrage between regulatory and economic capital to align them more closely – it can be done by engaging in new operations that consume more economic than regulatory capital.

Download PDF sample

Rated 4.30 of 5 – based on 15 votes