mikey10011
New Member
On slide 26 on Credit Assessments: Standardized Approach could you give concrete examples of "Banks-Option 1," "Banks Options 2" and "Banks-Short-term claims under Option 2" are [paragraph 63]? Also why does a risk-weight of *150%* makes sense for credit assessments "Below B-"? (Wouldn’t EAD be a total writeoff with LGD = 100%?) Also does E [slide 51] mean “exposure at default” (EAD) [cf. Annex 7 (pp. 298-301)]? Does RWA = E* x risk weight [in slides 27 & 28]?
On slide 52 on risk-weighted assets for asset securitization, could you give a concrete example of what "Deduction" means in the tables [paragraphs 567 & 561]?
I know that you have talked about this before
http://forum.bionicturtle.com/viewthread/410/
http://forum.bionicturtle.com/viewthread/23/
but I still don’t understand credit risk mitigation (CRM) [slide 51] under the standardized approach.
Is there any chance that you could put together a screencast of an EditGrid spreadsheet with multiple tabs corresponding to multiple concrete examples with different scenarios of collateral (C) and haircuts (He, Hc, Hfx) linking exposure-at-default (EAD), credit assessment [slide 26], simple & comprehensive CRM [slide 51], and RWA capital requirements [slide 21]? Who determines and quantified the “appropriate” haircut [paragraph 147] and what are some typically real-life numbers?
Finally, the Basel II framework was published on June 2006. Can you recommend some “textbooks” or tutorial articles that have been published since then that go through the document? (I’ve looked through our FRM books and they were all published before June 2006.)
On slide 52 on risk-weighted assets for asset securitization, could you give a concrete example of what "Deduction" means in the tables [paragraphs 567 & 561]?
I know that you have talked about this before
http://forum.bionicturtle.com/viewthread/410/
http://forum.bionicturtle.com/viewthread/23/
but I still don’t understand credit risk mitigation (CRM) [slide 51] under the standardized approach.
Is there any chance that you could put together a screencast of an EditGrid spreadsheet with multiple tabs corresponding to multiple concrete examples with different scenarios of collateral (C) and haircuts (He, Hc, Hfx) linking exposure-at-default (EAD), credit assessment [slide 26], simple & comprehensive CRM [slide 51], and RWA capital requirements [slide 21]? Who determines and quantified the “appropriate” haircut [paragraph 147] and what are some typically real-life numbers?
Finally, the Basel II framework was published on June 2006. Can you recommend some “textbooks” or tutorial articles that have been published since then that go through the document? (I’ve looked through our FRM books and they were all published before June 2006.)