Study Notes: Basel II: International Convergence

Basel II: International Convergence contains 18 pages covering the following concepts:

The key elements of the three pillars of Basel II:
Minimum capital requirements
Supervisory review
Market discipline
The major elements of the three options available for the calculation of credit risk:
Standardized Approach
Foundation IRB Approach
Advanced IRB Approach
The major elements of the three options available for the calculation of operational risk:
Basic Indicator Approach
Standardized Approach
Advanced Measurement Approach
The major elements—including a description of the risks covered—of the two options available for the calculation of market risk:
Standardized Measurement Method
Internal Models Approach
Defining in the context of Basel II and calculating where appropriate:
Capital ratio
Capital charge
Tier 1 capital and its components
Tier 2 capital and its components
Tier 3 capital and its components
Probability of default (PD)
Loss given default (LGD)
Exposure at default (EAD)
Maturity (M)
Stress tests
Concentration risk
Residual risk

After reviewing the notes you will be able to apply what you learned with practice questions and answers.

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