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Final Basel III Modelling

Implementation, Impact and Implications

Authors: AKKIZIDIS, IOANNIS, Kalyvas, Lampros

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  • Assesses the potential impact of final Basel III as shaped in December 2017
  • Analysis provides evidence on the principle of proportionality
  • Provides practical examples and hands-on applications for assessing the new BCBS framework
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eBook $59.99
price for USA in USD (gross)
  • ISBN 978-3-319-70425-8
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
price for USA in USD
  • ISBN 978-3-319-70424-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $79.99
price for USA in USD
  • ISBN 978-3-030-09958-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

 

About the authors

Ioannis Akkizidis, BEng, MSc, PhD, is a global product manager of financial risk management systems, working for Wolters Kluwer in Zürich, Switzerland. He has experience in designing and implementing advanced solutions in risk management and profitability analysis for the financial industry. Turning theory into practice, he has been involved in many projects for implementing financial systems and models in the financial industry. Dr. Akkizidis wrote his PhD thesis in modelling non-linear systems at the University of Wales, UK. Since 2008, he has been a sessional lecturer at the University of Zurich (UZH) in Banking and Corporate Finance for the Master’s Degree program in Quantitative Finance, a joint degree offered by the UZH and Eidgenössische Technische Hochschule Zürich (ETH). He is the author and co-author of several bestselling books, book chapters, handbooks and articles, in financial analysis and risk management. He is a Board Member of the Swiss Risk Association (SRA), and a Chapter Leader in Regulatory Development of the SRA.

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 interests include 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.

Table of contents (9 chapters)

Table of contents (9 chapters)

Buy this book

eBook $59.99
price for USA in USD (gross)
  • ISBN 978-3-319-70425-8
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
price for USA in USD
  • ISBN 978-3-319-70424-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $79.99
price for USA in USD
  • ISBN 978-3-030-09958-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Final Basel III Modelling
Book Subtitle
Implementation, Impact and Implications
Authors
Copyright
2018
Publisher
Palgrave Macmillan
Copyright Holder
The Editor(s) (if applicable) and The Author(s)
eBook ISBN
978-3-319-70425-8
DOI
10.1007/978-3-319-70425-8
Hardcover ISBN
978-3-319-70424-1
Softcover ISBN
978-3-030-09958-9
Edition Number
1
Number of Pages
XXVII, 321
Number of Illustrations
33 b/w illustrations, 10 illustrations in colour
Topics