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03142aam a2200397Ii 4500 001 F1BB197AE96D11E8978F920F97128E48 003 SILO 005 20181116010210 008 171013s2018 sz a b 001 0 eng d 020 $a 9783319704241 020 $a 3319704249 035 $a (OCoLC)1006302685 040 $a YDX $b eng $e rda $c YDX $d YDX $d OCLCO $d OHX $d LSD $d SILO 050 4 $a K1066 $b .A35 2018 072 7 $a LAW $x 001000 $2 bisacsh 072 7 $a HG $2 lcco 082 04 $a 346/.082 $2 23 100 1 $a Akkizidis, Ioannis S., $e author. 245 10 $a Final Basel III modelling : $b implementation, impact and implications / $c Ioannis Akkizidis, Lampros Kalyvas. 264 1 $a Cham, Switzerland : $b Palgrave Macmillan, $c [2018] 300 $a xxvii, 321 pages ; $c 25 cm 504 $a Includes bibliographical references and index. 505 0 $a 1. Introductory Remarks -- 2. The Roadmap to Basel Iv -- 3. Impact Assessment Methodology -- 4. Credit Risk: Aspects of Implementation -- 5. Credit Risk: Quantitative Impact -- 6. Market Risk - Fundamental Review Of The Trading Book (Frtb) -- 7. Credit Valuation Adjustments -- 8. Revisions to Operational Risk -- 9. Output Floor, Leverage Ratio, and Other Regulatory Requirements. . 520 $a 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.-- $c Provided by publisher. 650 0 $a Banking law. 650 0 $a Credit $x Mathematical models. 650 0 $a Asset-liability management $x Law and legislation. 650 0 $a Banks and banking $x Law and legislation. $x Law and legislation. 650 0 $a Banks and banking, International $x Law and legislation. 650 0 $a Financial services industry $x Risk management. 700 1 $a Kalyvas, Lampros, $e author. 776 0 $z 9783319704258 (online) 776 0 $w (GyWOH)har180405852 941 $a 1 952 $l OVUX522 $d 20191213012525.0 956 $a http://locator.silo.lib.ia.us/search.cgi?index_0=id&term_0=F1BB197AE96D11E8978F920F97128E48Initiate Another SILO Locator Search