Basel IV: the next generation of risk weighted assets
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Weinheim
Wiley-VCH Verlag GmbH & Co. KGaA
[2017]
|
| Schriftenreihe: | Wiley finance
|
| Schlagworte: | |
| Online-Zugang: | http://www.wiley-vch.de/publish/dt/books/ISBN978-3-527-50918-8/ Inhaltsverzeichnis |
| Beschreibung: | 337 Seiten Diagramme |
| ISBN: | 9783527509188 3527509186 |
Internformat
MARC
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| 245 | 1 | 0 | |a Basel IV |b the next generation of risk weighted assets |c Martin Neisen and Stefan Röth |
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| 653 | |a Geld u. Bankwesen | ||
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Datensatz im Suchindex
| _version_ | 1804177582446346240 |
|---|---|
| adam_text | 5
CONTENT
FOREWORD ***********************
11
PREFACE
.
..................................................................
.....
....................................
.....
* * 13
1 REVISION OF THE STANDARDISED APPROACH FOR CREDIT RISK ******** 15
1.1 INTRODUCTION
15
1.2 PROVISIONS IN DETAIL
19
1.2.1 GENERAL ASPECTS
19
1.2.2 CLAIMS ON BANKS
20
1.2.3 EXPOSURES TO CORPORATES 24
1.2.4 SPECIALISED LENDING
28
1.2.5 SUBORDINATED DEBT INSTRUMENTS, EQUITY AND OTHER CAPITAL
INSTRUMENTS
29
1.2.6 RETAIL PORTFOLIO
30
1.2.7 EXPOSURES SECURED BY REAL ESTATE/REAL ESTATE EXPOSURE CLASS
31
1.2.8 ADDITIONAL RISK WEIGHTS FOR RISK POSITIONS WITH CURRENCY MISMATCH
36
1.2.9 OFF-BALANCE-SHEET ITEMS
37
1.2.10 DEFAULTED EXPOSURES
39
1.2.11 CLAIMS ON MULTILATERAL DEVELOPMENT BANKS (MDB)
39
1.2.12 OTHER ASSETS
40
1.2.13 CHANGES IN CREDIT RISK MITIGATION TECHNIQUES
40
1.2.14 ADDITIONAL ASPECTS AND OTHER POSSIBLE ADJUSTMENTS
43
1.3 CONCLUSIONS
44
RECOMMENDED LITERATURE
46
2 THE FUTURE OF THE IRB APPROACH ************** 47
2.1 BASEL COMMITTEE*S INITIATIVES TO IMPROVE THE IRB APPROACH 47
2.1.1 INTRODUCTION 47
2.1.2 SCOPE OF APPLICATION OF INTERNAL MODELS
49
2.1.3 FLOORS AS AN INSTRUMENT OF RWA VARIABILITY REDUCTION 54
2.1.4 PARAMETER ESTIMATION PRACTICES 57
2.1.5 CONCLUSION
58
2.2 DEFINITION OF DEFAULT
59
2.2.1 PAST-DUE CRITERION IN DEFINITION OF DEFAULT
59
2.2.2 INDICATIONS OF UNLIKELYNESS TO PAY
60
2.2.3 APPLICATION OF DEFAULT DEFINITION FOR RETAIL EXPOSURES
64
2.2.4 IMPLICATIONS OF THE DEFAULT DEFINITION FOR FINANCIAL INSTITUTIONS
65
2.2.5 CRITERIA FOR THE RETURN TO NON-DEFAULTED STATUS
66
2.2.6 MATERIALITY THRESHOLD
67
2.2.7 IMPLEMENTATION OF CHANGES
67
2.3 RISK ESTIMATES
68
2.3.1 TREATMENT OF MULTIPLE DEFAULTS
69
2.3.2 DEFAULT RATE
70
2.3.3 PD ESTIMATION
71
2.3.4 LCD ESTIMATION
71
2.3.5 DOWNTURN ADJUSTMENT OF LCD AND CONVERSION FACTOR ESTIMATES
72
2.3.6 IMPLEMENTATION OF CHANGES IN RISK ESTIMATES
72
2.4 TREATMENT OF DEFAULTED ASSETS
73
2.4.1 IMPLEMENTATION OF CHANGES IN THE TREATMENT OF DEFAULTED ASSETS
74
RECOMMENDED LITERATURE 75
3 THE NEW STANDARDISED APPROACH FOR MEASURING COUNTERPARTY CREDIT RISK
EXPOSURES (SA-CCR) * *****************
77
3.1 COUNTERPARTY CREDIT RISK 77
3.1.1 DEFINITION OF THE COUNTERPARTY CREDIT RISK 77
3.1.2 MEASURING COUNTERPARTY CREDIT RISK ACCORDING TO CRR
78
3.1.3 BACKGROUND AND MOTIVES FOR INTRODUCING THE SA-CCR APPROACH
79
3.2 SIDE NOTE: THE SUPERVISORY MEASUREMENT OF COUNTERPARTY
CREDIT RISK WITHIN THE CURRENT EXPOSURE METHOD
79
3.3 MEASUREMENT OF COUNTERPARTY CREDIT RISK ACCORDING TO SA-CCR
83
3.3.1 EXPOSURE AT DEFAULT
83
3.3.2 CURRENT REPLACEMENT COST
84
3.3.3 POTENTIAL FUTURE EXPOSURE 85
3.3.4 CALCULATION EXAMPLE: EAD DETERMINATION UNDER SA-CCR
97
3.4 EXPECTED IMPACT ON THE BANKING INDUSTRY
98
RECOMMENDED LITERATURE
99
4 THE NEW BASEL SECURITISATION FRAMEWORK ************ 101
4.1 INTRODUCTION
101
4.2 CURRENT EU SECURITISATION FRAMEWORK
102
4.2.1 EXCLUSION OF SECURITISED EXPOSURES FROM THE CALCULATION
OF THE RISK-WEIGHTED EXPOSURE AMOUNTS
102
4.2.2 APPROACHES FOR THE DETERMINATION OF RISK-WEIGHTED
EXPOSURE AMOUNTS
104
4.2.3 REGULATIONS FOR EXTERNAL CREDIT RATINGS
110
4.3 REVISIONS TO THE SECURITISATION FRAMEWORK
110
4.3.1 CRITICISM OF THE EXISTING RULES
110
4.3.2 REVISIONS TO THE SECURITISATION FRAMEWORK
112
4.3.3 RISK WEIGHTS FOR SECURITISATION POSITIONS WHEN COMPLYING WITH
STC CRITERIA
125
4.4 GENERAL CONCLUSIONS
130
RECOMMENDED LITERATURE
131
5 BASEL IV FOR FUNDS
.
................................................................................................
133
5.1 ASSIGNMENT TO THE TRADING BOOK OR BANKING BOOK
135
5.2 OWN FUNDS REQUIREMENTS FOR FUNDS IN THE BANKING BOOK
137
5.2.1 FUNDS UNDER THE STANDARDISED APPROACH
138
5.2.2 FUNDS UNDER THE INTERNAL RATINGS-BASED APPROACH (IRB)
140
5.2.3 LEVERAGE ADJUSTMENT UNDER THE LTA AND THE MBA
141
5.2.4 CREDIT VALUATION ADJUSTMENT
142
5.2.5 TREATMENT OF TARGET FUNDS
143
5.3 CONCLUSION AND IMPACT
144
RECOMMENDED LITERATURE
146
6
FUNDAMENTAL REVIEW OF THE TRADING BOOK: NEW FRAMEWORK FOR
MARKET RISKS
.
.............................................................................*
* * * * 147
6.1 INTRODUCTION
147
6.2 TRADING BOOK BOUNDARY
148
6.2.1 REVISED BOUNDARY BETWEEN THE TRADING AND BANKING BOOK
149
6.2.2 REALLOCATION
151
6.2.3 INTERNAL RISK TRANSFER
153
6.3 THE REVISED STANDARDISED APPROACH FOR MARKET PRICE RISKS
154
6.3.1 LINEAR AND NON-LINEAR PRICE RISKS 155
6.3.2 DEFAULT RISK
166
6.3.3 RESIDUAL RISK ADD-ON
167
6.4 INTERNAL MODEL APPROACH FOR MARKET RISK (IMA-TB)
167
6.4.1 REGULATORY BACKGROUND AND GOALS
168
6.4.2 PROCEDURAL AND ORGANISATIONAL CHALLENGES
169
6.4.3 METHODICAL AMENDMENT
169
6.4.4 IMPACT ON CAPITAL REQUIREMENTS 176
6.5 CONCLUSIONS
179
RECOMMENDED LITERATURE
182
7 CVA RISK CAPITAL CHARGE FRAMEWORK
.
.........................................
.....
* * * * 183
7.1 CREDIT VALUATION ADJUSTMENT
183
7.1.1 DEFINITION OF THE TERM *CREDIT VALUATION ADJUSTMENT*
183
7.1.2 BACKGROUND OF THE REGULATORY CVA
185
7.1.3 REVISION OF THE CVA FRAMEWORK
185
7.1.4 HIERARCHY OF APPROACHES
187
7.2 FRTB-CVA FRAMEWORK
188
7.2.1 REGULATORY REQUIREMENTS FOR THE APPLICATION OF THE FRTB-CVA
FRAMEWORK
188
7.2.2 EXPOSURE VALUE FOR THE FRTB-CVA
191
7.2.3 STANDARDISED APPROACH FOR CVA (SA-CVA)
194
7.2.4 INTERNAL MODEL APPROACH FOR CVA (IMA-CVA)
197
7.3 BASIC CVA FRAMEWORK
198
7.3.1 SIDE NOTE: CALCULATION OF THE CVA RISK CAPITAL CHARGE UNDER
THE CURRENT STANDARDISED METHOD IN THE CRR
198
7.3.2 REGULATORY REQUIREMENTS FOR THE APPLICATION OF THE BASIC
CVA FRAMEWORK
202
7.3.3 EXPOSURE VALUE FOR THE BASIC CVA
202
7.3.4 DETERMINATION OF REGULATORY CAPITAL REQUIREMENTS BASED ON THE
BASIC CVA FRAMEWORK
202
7A
ADDITIONAL ASPECTS AND EXPECTED EFFECTS
206
RECOMMENDED LITERATURE
208
8
OPERATIONAL RISK
.
....................................................... 209
8.1 BACKGROUND INFORMATION
209
8.2 METHODS TO DETERMINE OPERATIONAL RISK PURSUANT TO BASEL II
210
8.2.1 BASIC INDICATOR APPROACH AND STANDARDISED APPROACH
211
8.2.2 ADVANCED MEASUREMENT APPROACHES
212
8.3 CRITICISM OF THE EXISTING APPROACHES
213
8.4 OPERATIONAL RISK * REVISIONS TO THE SIMPLER APPROACHES
(BCBS 291)
214
8.4.1 REQUIREMENTS FOR THE REVISED STANDARDISED APPROACH
214
8.4.2 THE MECHANICS OF THE REVISED STANDARDISED APPROACH
214
8.5 STANDARDISED MEASUREMENT APPROACH FOR OPERATIONAL RISK
(BCBS 355)
216
8.5.1 REQUIREMENTS ON THE SMA
216
8.5.2 FUNCTIONALITY OF THE SMA
216
8.5.3 COMPARISON AMONG THE BIA, REVISED SA (BCBS 291) AND SMA
(BCBS 355) BASED ON AN EXAMPLE CALCULATION
223
8.6 SUMMARY AND CONCLUSIONS
226
RECOMMENDED LITERATURE
229
9 CAPITAL FLOORS
.
.............................................................
- - - 231
9.1 INTRODUCTION
231
9.2 ALTERNATIVES TO DESIGN A CAPITAL FLOOR
233
9.2.1 OPTION 1: RISK CATEGORY-BASED APPROACH
233
9.2.2 OPTION 2: AGGREGATE RWA-BASED APPROACH
234
9.2.3 OPTION 3: FLOOR AT EXPOSURE CLASS LEVEL
235
9.2.4 TREATMENT OF CREDIT RISK ADJUSTMENTS
235
9.2.5 CHOICE OF THE STANDARDISED APPROACH
236
9.2.6 DISCLOSURE
236
9.2.7 LEVEL OF FLOOR FACTOR AND CURRENT DISCUSSION
237
9.3 CONCLUSIONS
237
RECOMMENDED LITERATURE
238
10 NEW BASEL FRAMEWORK FOR LARGE EXPOSURES *********** 239
10.1 BACKGROUND
239
10.2 SCOPE
240
10.3 LARGE EXPOSURE LIMITS
240
10.4 ELIGIBLE CAPITAL
241
10.5 COUNTERPARTIES AND CONNECTED COUNTERPARTIES
242
10.6 DEFINITION OF EXPOSURE
245
10.7 ASSESSMENT BASE
246
10.7.1 ON AND OFF-BALANCE SHEET ITEMS IN THE BANKING BOOK
246
10.7.2 COUNTERPARTY RISK
246
10.7.3 TRADING BOOK ITEMS
247
10.8 RECOGNITION OF CREDIT RISK MITIGATION
247
10.9 EXEMPTIONS
249
10.10 LOOK-THROUGH OF FUNDS AND SECURITISATIONS
250
10.11 REGULATORY REPORTING
254
10.12 SUMMARY 255
RECOMMENDED LITERATURE
258
11
DISCLOSURE 259
11.1 INTRODUCTION
259
11.2 DISCLOSURE GUIDELINES 259
11.3 RISK MANAGEMENT AND RISK-WEIGHTED ASSETS (RWA)
261
11.4 LINKAGES BETWEEN FINANCIAL STATEMENTS AND REGULATORY EXPOSURES
263
11.5 CREDIT RISK
264
11.5.1 GENERAL INFORMATION ON CREDIT RISK
265
11.5.2 CREDIT RISK MITIGATION
267
11.5.3 CREDIT RISK UNDER THE STANDARDISED APPROACH
268
11.5.4 CREDIT RISK UNDER THE IRB APPROACH
268
11.6 COUNTERPARTY CREDIT RISK
270
11.7 SECURITISATION
274
11.8 MARKET RISK 275
11.9 ENHANCEMENTS TO THE REVISED PILLAR 3 FRAMEWORK AND FURTHER
REVISIONS AND ADDITIONS ARISING FROM ONGOING REFORMS TO THE
REGULATORY POLICY FRAMEWORK
278
11.9.1 NEW CONTENT
279
11.9.2 BCBS 356: OVERVIEW ON DISCLOSURE BY DIFFERENT CATEGORIES
282
11.9.3 APPLICABILITY OF EXISTING AND PROSPECTIVE BCBS DISCLOSURE
REQUIREMENTS (SECOND PHASE OF THE PILLAR 3 REVIEW)
282
11.10 DISCLOSURES RELATED TO LIQUIDITY INDICATORS
283
11.10.1 DISCLOSURE REQUIREMENTS FOR THE LIQUIDITY COVERAGE RATIO (LCR)
284
11.10.2 THE NET STABLE FUNDING RATIO * NSFR (BCBS 324)
285
11.10.3 ADDITIONAL QUANTITATIVE AND QUALITATIVE DISCLOSURE REQUIREMENTS
287
11.10.4 SUMMARY AND CHALLENGES
287
11.11 CONCLUSIONS AND EXPECTED EFFECTS
288
RECOMMENDED LITERATURE
289
12 INTEREST RATE RISK IN THE BANKING BOOK (IRRBB) * ********* 291
12.1 REGULATORY TREATMENT OF INTEREST RATE RISK IN THE BANKING BOOK
291
12.2 THE STANDARDISED FRAMEWORK 292
12.2.1 INTRODUCTION 292
12.2.2 ASSIGNING POSITIONS TO TIME BUCKETS
293
12.2.3 INTEREST RATE SHOCK SCENARIO DESIGN 295
12.2.4 ESTIMATING THE IMPACT ON EVE
296
12.2.5 CALCULATION OF MINIMUM CAPITAL REQUIREMENTS
296
12.3 PRINCIPLES FOR TREATMENT WITHIN THE FRAMEWORK OF PILLAR 2 297
12.4 CONCLUSION AND EXPECTED IMPACT 297
RECOMMENDED LITERATURE 299
10 CONTENT
13 CORPORATE GOVERNANCE * ***************** 301
13.1 INITIAL SITUATION
301
13.2 PRINCIPLES ON CORPORATE GOVERNANCE FOR BANKS
303
13.2.1 PRINCIPLE 1: BOARD*S OVERALL RESPONSIBILITIES
303
13.2.2 PRINCIPLE 2: BOARD QUALIFICATIONS AND COMPOSITION
306
13.2.3 PRINCIPLE 3: BOARD*S OWN STRUCTURE AND PRACTICES
307
13.2.4 PRINCIPLE 4: SENIOR MANAGEMENT
308
13.2.5 PRINCIPLE 5: GOVERNANCE OF GROUP STRUCTURES
309
13.2.6 PRINCIPLE 6: RISK MANAGEMENT FUNCTION
309
13.2.7 PRINCIPLE 7: RISK IDENTIFICATION, MONITORING AND CONTROLLING
310
13.2.8 PRINCIPLE 8: RISK COMMUNICATION
311
13.2.9 PRINCIPLE 9: COMPLIANCE
311
13.2.10 PRINCIPLE 10: INTERNAL AUDIT
312
13.2.11 PRINCIPLE 11: COMPENSATION
312
13.2.12 PRINCIPLE 12: DISCLOSURE AND TRANSPARENCY
313
13.2.13 PRINCIPLE 13: THE ROLE OF SUPERVISORS
314
13.3 CONCLUSIONS
314
RECOMMENDED LITERATURE
316
14 TLAC AND MREL - TWO INITIATIVES, ONE GOAL * *********** 317
14.1 BACKGROUND
317
14.2 THE REGULATIONS IN DETAIL
319
14.2.1 MREL AS A NEW *CAPITAL* PARAMETER
319
14.2.2 SCOPE OF APPLICATION * INDIVIDUAL VS. CONSOLIDATED PERSPECTIVE
319
14.2.3 RESPONSIBILITY OF THE *GONE-CONCERN* SUPERVISOR
320
14.2.4 ELIGIBLE LIABILITIES
321
14.2.5 DEDUCTIBLE ITEMS
325
14.2.6 CALIBRATION OF THE MREL REQUIREMENT
327
14.2.7 TLAC CALIBRATION
331
14.3 OPERATIONAL IMPACT
332
14.3.1 PREPARATION
333
14.3.2 ONGOING REPORTING
333
14.3.3 MANAGEMENT AND PRICING
334
14.3.4 DISCLOSURE
334
14.4 RECENT DEVELOPMENTS * TLAC/MREL IN THE CRR II/CRD V
CONSULTATION PACKAGE
335
RECOMMENDED LITERATURE
337
|
| any_adam_object | 1 |
| author | Neisen, Martin Röth, Stefan |
| author_GND | (DE-588)1112558691 (DE-588)1112558896 |
| author_facet | Neisen, Martin Röth, Stefan |
| author_role | aut aut |
| author_sort | Neisen, Martin |
| author_variant | m n mn s r sr |
| building | Verbundindex |
| bvnumber | BV044345574 |
| classification_rvk | QK 320 |
| ctrlnum | (OCoLC)1002247026 (DE-599)DNB1122037309 |
| dewey-full | 650 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 650 - Management and auxiliary services |
| dewey-raw | 650 |
| dewey-search | 650 |
| dewey-sort | 3650 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV044345574 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:50:22Z |
| institution | BVB |
| institution_GND | (DE-588)16179388-5 |
| isbn | 9783527509188 3527509186 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029748522 |
| oclc_num | 1002247026 |
| open_access_boolean | |
| owner | DE-521 DE-1049 DE-B768 DE-12 DE-92 |
| owner_facet | DE-521 DE-1049 DE-B768 DE-12 DE-92 |
| physical | 337 Seiten Diagramme |
| publishDate | 2017 |
| publishDateSearch | 2017 |
| publishDateSort | 2017 |
| publisher | Wiley-VCH Verlag GmbH & Co. KGaA |
| record_format | marc |
| series2 | Wiley finance |
| spelling | Neisen, Martin (DE-588)1112558691 aut Basel IV the next generation of risk weighted assets Martin Neisen and Stefan Röth Weinheim Wiley-VCH Verlag GmbH & Co. KGaA [2017] © 2017 337 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Wiley finance Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)1130357775 gnd rswk-swf Finance & Investments Finanz- u. Anlagewesen Geld u. Bankwesen Money & Banking Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)1130357775 u DE-604 Röth, Stefan (DE-588)1112558896 aut Wiley-VCH (DE-588)16179388-5 pbl http://www.wiley-vch.de/publish/dt/books/ISBN978-3-527-50918-8/ Verlag DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029748522&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Neisen, Martin Röth, Stefan Basel IV the next generation of risk weighted assets Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)1130357775 gnd |
| subject_GND | (DE-588)1130357775 |
| title | Basel IV the next generation of risk weighted assets |
| title_auth | Basel IV the next generation of risk weighted assets |
| title_exact_search | Basel IV the next generation of risk weighted assets |
| title_full | Basel IV the next generation of risk weighted assets Martin Neisen and Stefan Röth |
| title_fullStr | Basel IV the next generation of risk weighted assets Martin Neisen and Stefan Röth |
| title_full_unstemmed | Basel IV the next generation of risk weighted assets Martin Neisen and Stefan Röth |
| title_short | Basel IV |
| title_sort | basel iv the next generation of risk weighted assets |
| title_sub | the next generation of risk weighted assets |
| topic | Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)1130357775 gnd |
| topic_facet | Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung |
| url | http://www.wiley-vch.de/publish/dt/books/ISBN978-3-527-50918-8/ http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029748522&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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