Final Basel III Modelling
Beschreibung:
Lampros Kalyvas, BSc, MSc, PhD, is a senior economist with expertise in quantitative finance and currently based in London, United Kingdom. Being an expert in banking regulation, supervision, and risk management, he works for the European Banking Authority as a senior policy expert on issues relating to the quantitative impact of the international and European banking regulation on banks. Including his current post, Dr. Kalyvas has been working for the banking and financial industry for more than 17 years. He also held positions at the European Central Bank (ECB), the Bank of Greece, the Athens Stock Exchange, and had a short career in the academia, lecturing topics related to the banking regulation and financial engineering. His research interestsinclude the quantification of credit, market, and operational risks. He is the author of a bestselling book and of numerous articles on quantitative finance and risk management. He studied Applied Informatics (BSc) and International Banking and Financial Studies (MSc). His PhD thesis dealt with the assessment and management of market risk, comparing the expected shortfall generated by the use of historical simulation and Extreme Value Theory methods.
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.