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Final Basel III Modelling

Implementation, Impact and Implications

  • Ioannis Akkizidis
  • Lampros Kalyvas

Table of contents

  1. Front Matter
    Pages i-xxvii
  2. Ioannis Akkizidis, Lampros Kalyvas
    Pages 1-7
  3. Ioannis Akkizidis, Lampros Kalyvas
    Pages 9-32
  4. Ioannis Akkizidis, Lampros Kalyvas
    Pages 33-52
  5. Ioannis Akkizidis, Lampros Kalyvas
    Pages 53-85
  6. Ioannis Akkizidis, Lampros Kalyvas
    Pages 87-110
  7. Ioannis Akkizidis, Lampros Kalyvas
    Pages 111-181
  8. Ioannis Akkizidis, Lampros Kalyvas
    Pages 183-255
  9. Ioannis Akkizidis, Lampros Kalyvas
    Pages 257-287
  10. Ioannis Akkizidis, Lampros Kalyvas
    Pages 289-310
  11. Back Matter
    Pages 311-321

About this book

Introduction

This book provides a concise and practical guidance on the implementation analysis of the new revised standards of the Basel Committee on Banking Supervision (BCBS) on the supervision of the international banking system. Based on publicly available data on default rates and realised loss-given-default rates, it provides an analysis of credit and market risk, assessing the extent to which the new framework on risk-based and leverage ratio requirements affects the modelling of banking risks. Moreover, it provides a detailed analysis of the Fundamental Review of the Trading Book (FRTB), which changes the philosophy for the risk valuation and capital requirements of the market risk, and of the latest developments on the credit valuation adjustments (CVA) framework. It also examines the impact of the final calibration of operational risk parameters on the level of capital requirements.

It provides an overview of the modelling properties that govern the application of the internal models for credit and market risk, and provides evidence on the overall impact on banks’ cost of funding due to the implementation of Basel reforms as shaped in December 2017. Finally, the book provides practical examples and hands-on applications for assessing the new BCBS framework.

Keywords

Regulation Financial regulation Basel III Financial stability Banking Basel Committee on Banking Supervision BCBS Banking supervision Capital requirements Market risk Credit risk Operational risk Financial crisis Leverage ratio CVA Central Counterparties

Authors and affiliations

  • Ioannis Akkizidis
    • 1
  • Lampros Kalyvas
    • 2
  1. 1.Employed by Wolters KluwerZurichSwitzerland
  2. 2.Employed by European Banking AuthorityLondonUK

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-70425-8
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2018
  • Publisher Name Palgrave Macmillan, Cham
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-319-70424-1
  • Online ISBN 978-3-319-70425-8
  • Buy this book on publisher's site