basel iii

Learning objectives: Explain the motivations for revising the Basel III framework and the goals and impacts of the December 2017 reforms to the Basel III framework. Summarize the December 2017 revisions to the Basel III framework in the following areas: The standardized approach to credit risk...

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...

While editing the study note for the LCR in Basel III (i.e., Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools" at http://www.bis.org/publ/bcbs238.pdf), I noted the Committee also published a two page summary. This summary probably might be all an FRM candidate needs...

Learning outcomes: Describe and calculate ratios intended to improve the management of liquidity risk, including the required leverage ratio, the liquidity coverage ratio, and the net stable funding ratio. Describe the mechanics of contingent convertible bonds (CoCos) and explain the motivations...

Learning outcomes: Define in the context of Basel III and calculate where appropriate: Tier 1 capital and its components; Tier 2 capital and its components; Required Tier 1 equity capital, total Tier 1 capital, and total capital. Describe the motivations for and calculate the capital...

AIMs: Explain the difference between the Basel II/III and the Solvency II frameworks for the capture of diversification benefits. Explain the difference between Basel II/III and the Solvency II frameworks with respect to: 1) risk classes and capital requirements, 2) risk measure and calibration...

AIMs: Describe key guidelines for verification and validation of a bank's ORMF and ORMS. Describe key supervisory guidelines for the selection of a reference date for an internal loss. Describe key guidelines for the selection of a bank's Operational Risk Categories (ORCs). Explain key...

AIM: Define gross loss and net loss and identify which specific items should be included or excluded in gross loss computations per the Basel committee. Describe the process and considerations suggested by the Basel committee for a bank to use in determining a loss data threshold. Describe the...

AIMs: Explain and calculate the stressed value-at-risk measure and the frequency which it must be calculated. Explain and calculate the market risk capital requirement. Describe the qualitative disclosures for the incremental risk capital charge. Describe the quantitative disclosures for trading...

AIMs: Differentiate between Level 1, Level 2A, and Level 2B assets, and define the respective cap for each asset class as a percentage of total HQLA. Define how total net cash outflows are calculated for the minimum liquidity coverage ratio. Describe additional metrics to be used by supervisors...

AIMs: Define and describe the minimum liquidity coverage ratio. Describe the characteristics of high quality liquid assets (HQLA) and operational requirements for assets to qualify as HQLA. Questions: 407.1. Which objective of Basel's liquidity framework is meant to be achieved with the...