basel ii

  1. Nicole Seaman

    P2.T7.20.8. Capital regulation before the global financial crisis (2nd of 2)

    Learning objectives: Describe changes to the Basel regulations made as part of Basel II, including the three pillars. Compare the standardized IRB approach, the Foundation Internal Ratings-Based (IRB) approach and the advanced IRB approach for the calculation of credit risk capital under Basel...
  2. B

    NGR calculation for Netting Set which includes one single trade

  3. premseoul

    Basle Committee specification (rationale?)

    What is the simple to understand explanation/rationale behind the Basle Committee specification for multiple of 3 times the 99% confidence 10-day VaR as minimum regulatory market risk capital for investement banks, etc? I am curious about the explanation both in quantative and qualitative...
  4. Nicole Seaman

    P2.T7.519. Basel II credit risk parameters and Solvency II (Hull)

    Learning outcomes: Define in the context of Basel II and calculate where appropriate: Probability of default (PD), Loss given default (LGD), Exposure at default (EAD), Worst-case probability of default. Differentiate between solvency capital requirements (SCR) and minimum capital requirements...
  5. Nicole Seaman

    P2.T7.518. Three Pillars of Basel II (Hull)

    Learning outcome: Describe the key elements of the three pillars of Basel II: minimum capital requirements, supervisory review, and market discipline. Describe and contrast the major elements of the three options available for the calculation of operational risk: basic indicator approach...
  6. Nicole Seaman

    P2.T7.517. Credit risk capital under Basel II (Hull)

    Learning outcomes: Describe and contrast the major elements of the three options available for the calculation of credit risk: Standardised Approach, Foundation IRB Approach and Advanced IRB Approach Questions: 517.1. Consider the following four statements which attempt to summarize the...
  7. H

    BASEL II + Market Risk Amendments Summary

    I tried to create for myself a one page summary of BASEL II to capture all major ideas in one place, but I couldn't, managed to squeeze it to four slides, as the material is huge. I mainly copied images from BIONIC TURTLE study notes, so all copyright belongs to our beloved BT :) I decided to...
  8. M

    Basel II capital charge-Study Notes pg 128

    Hi David, I'm lost in the ways 3 tiers of capital should be alloated to credit/market/operational risks. Under min. capital req'd column: 1. For credit risk: why only $300 from Tier 1 to be allocated? We have another $600; 2. For market risk: why only $100 from Tier 1 to be allocated, why...
  9. J

    Basel II

    David In your Basel II movie you mention that under the simple method, the risk weights of the collateral is substituted for the counterparty while the exposure itself is reduced in case of the comprehensive approach. I think the Basel II document says that even under the comprehensive...