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basel

  1. Nicole Seaman

    P2.T7.800. Principles for the sound management of operational risk: governance.

    Learning objectives: Describe the three “lines of defense” in the Basel model for operational risk governance. Summarize the fundamental principles of operational risk management as suggested by the Basel Committee. Explain guidelines for strong governance of operational risk, and evaluate the...
  2. S

    BI Component( Basel Committee)

    hi David In the BI Component calculation Bucket 1 has a multiplier of 0.11 and Bucket 2 has a multipler of 0.15 In the reading it's mentioned that 0.15 is the internal loss multiplier and it's also mentioned that Bucket 1 doesn't depend on internal losses So in that case what is 0.11 ( since it...
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    SMA approach for Operational risk

    Hi @David Harper CFA FRM Wrt calculation of business indicator -> ILDC + SC + FC, the complete formula for SC is extremely lengthly. In your opinion do we need to remember it, is it testable ?
  4. N

    PQ-external Basel Framework question~

    Hi, Mr. Harper, for the following question, although I get the correct answer, can you explain the meaning of credit substitution approach? and why D is wrong?
  5. N

    GARP.FRM.PQ.P2 Credit VaR - About diversification in IRB approach~

    Hi, Mr. Harper, refer to the notes book 3 of IRB approach, I am so confused about the meaning of portfolio invariant, does it mean that IRB approach is not considering correlation between assets in the loan portfolio of bank and therefore no diversification effect is benefit within in the loan...
  6. Nicole Seaman

    P2.T7.516. Internal models approach under Basel's 1996 Amendment (Hull)

    Learning outcomes: Calculate VaR and the capital charge using the internal models approach , and explain the guidelines for backtesting VaR according to the 1996 Basel guideline. Questions: 516.1. Basel's 1996 Amendment allows more sophisticated banks with well-established risk management...
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