Search Results - subject:"standardized approach"

Minimum capital requirements for market risk: An overview and critical analysis of the standardized approaches under Basel III

Best, Stefan - 2021

approach and the simplified standardized approach. In addition to presenting and critically analyzing both approaches, the … default risk are compared with those of the standardized approach for the banking book. In particular, it is shown that the … sensitivity-based standardized approach has conceptual and technical weaknesses. It is also unnecessarily complicated and thus …

Persistent link: https://www.econbiz.de/10013439919

Minimum capital requirements for market risk : an overview and critical analysis of the standardized approaches under Basel III

Best, Stefan - 2021

Persistent link: https://www.econbiz.de/10013331111

Computing valuation adjustments for counterparty credit risk using a modified supervisory approach

Büchel, Patrick; Kratochwil, Michael; Rösch, Daniel - In: Review of Derivatives Research 23 (2020) 3, pp. 273-322

modified version of the new regulatory standardized approach (SA-CCR). Hence, it conforms with supervisory rules and IFRS 13 …

Persistent link: https://www.econbiz.de/10014504522

An alternative to the standardized approach for assessing credit risk under the Basel accords

Konno, Yukiko; Itoh, Yuki - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-13

The current standardized approach for assessing credit risk under Basel III depends on ratings assigned by credit … assigned ratings to few Japanese companies. To improve the standardized approach under Basel III, we propose a new method for …

Persistent link: https://www.econbiz.de/10011559226

An alternative to the standardized approach for assessing credit risk under the Basel accords

Konno, Yukiko; Itoh, Yuki - In: Cogent economics & finance 4 (2016) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10011531140

Capital Requirement under the Three Approaches for a Credit Institution in Romania

Gabriela-Victoria, Anghelache; Ana-Cornelia, Olteanu; … - In: Ovidius University Annals, Economic Sciences Series XI (2011) 1, pp. 94-99

The phenomenon of current financial market globalization is accompanied by increasing manifestation of the risks related to operations in the financial market. Therefore it can be considered that capital adequacy to operational risk is a current research topic whose purpose is to valuate its...

Persistent link: https://www.econbiz.de/10010838954

Operational Risk Modelling and Capital Adequacy – are There any Rewards in Greater Complexity?

Anghelache, Gabriela Victoria; Cozmanca, Bogdan Octavian; … - In: Journal for Economic Forecasting (2011) 3, pp. 108-131

The paper applies the methodologies proposed by Basel Committee on Banking Supervision for assessing the capital requirements in the context of operational risk to a Romanian commercial bank. The basic indicator, standard and internal measurement approaches (IMA) have been used to asses the...

Persistent link: https://www.econbiz.de/10009321261

Considerations Regarding Operational Risk Management in the Context of the Basel II Agreement

Trenca, Ioan; Neag, Iulia - In: Romanian Economic Journal 13 (2010) 36, pp. 171-185

standardized approach and the advanced measurement approach, suggesting the necessity of adequate capital requirements for the …

Persistent link: https://www.econbiz.de/10008587072

The Operational Risk – Minimum Capital Requirements

Anghelache, Gabriela Victoria; Olteanu, Ana Cornelia - In: Theoretical and Applied Economics 07(536) (2009) 07(536), pp. 29-36

This paper aims to present how to quantify the minimum capital requirement for operational risk using three approaches proposed by the Basel Committee to identify optimal allocation of capital, given that until recently to this risk has been allocated a minimum attention, considering that it has...

Persistent link: https://www.econbiz.de/10005004935

Basel II, External Ratings and Adverse Selection

Akhtar, S.; Bannier, C.; Tyrell, M.; Elizalde, A.; Janda, K. - Volkswirtschaftliche Fakultät, … - 2008

ratings in the Standardized Approach in Basel II. Furthermore it will examine the problem of adverse selection which appears … standardized approach. The paper will also attempt to find possible solutions to the adverse selection problem by discussing two …

Persistent link: https://www.econbiz.de/10005836225