Current exposure method for CCP’s under Basel III

Enhanced Prudential Standards Under Basel Iii: What Consequences For The Profitability Of Banks

Since the subprime financial crisis, international financial regulatory institutions (Basel, MIFID, Dodd-Frank), have strengthened regulatory requirements on systemically important banks. The Basel Committee on Banking Supervision, and based on the G20 recommendations, has drawn up a reform program to reconfigure the banking system, based mainly on increasing the capital requirement. The progra...

Counterparty Credit Risk in OTC Derivatives under Basel III

Recent financial crises were the root of many changes in regulatory implementations in the banking sector. Basel previously covered the default capital charge for counterparty exposures however, the crisis showed that more than two third of the losses related to this risk emerged from the exposure to the movement of the counterparty’s credit quality and not its actual default therefore, Basel I...

Operational risk : A Basel II++ step before Basel III

Following the Banking Committee on Banking Supervision, operational risk quantification is based on the Basel matrix which enables sorting incidents. In this paper we analyze these incidents in depth and propose strategies for carrying out the supervisory guidelines proposed by the regulators. The objectives are as follows: • On the first hand, banks need to provide a univariate capital charge ...

Comparing Alternate Methods for Calculating CVA Capital Charges under Basel III

The global financial crisis brought counterparty credit risk and CVA very much into the spotlight. The Basel III proposals first published in December 2009 [2] introduced changes to the Basel II rules [1] including a new capital charge against the volatility of CVA. As the Basel committee noted, two thirds of the counterparty risk related losses during the credit crisis were actually from CVA v...

Optimizing Basel III Liquidity Coverage Ratios