1996 amendment

Learning outcomes: Calculate VaR and the capital charge using the internal models approach , and explain the guidelines for backtesting VaR according to the 1996 Basel guideline. Questions: (Source: John Hull, Risk Management and Financial Institutions, 5th Edition (New York: John Wiley & Sons...

Learning outcomes: Explain the calculation of risk-weighted assets and the capital requirement per the original Basel I guidelines. Describe and contrast the major elements—including a description of the risks covered—of the two options available for the calculation of market risk: Standardised...