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Preface; Acknowledgments; Contents; List of Figures; List of Tables; Contributors; Regulatory Capital and Market Risk; Regulatory Capital Requirement inßBasel III; Introduction; Basel II andßMajor Changes fromßBasel II toßBaselßIII; Capital inßBasel III; Tier 1 Capital; Common Equity Tier 1 Capital; Additional Tier 1 Capital; Tier 2 Capital; The Role ofßCapital Buffers andßCapital Adequacy Requirement; Risk-Weighted Assets; Minimal Capital Requirements; Leverage Ratios; Regulatory Capital Charge; Banking Book Exposure; Trading Book Exposure; Capital Conservation Buffer inßBasel III.
Calculation ofßCapital Conservation BufferFramework ofßtheßCapital Conservation Buffer; Countercyclical Capital Buffer inßBasel III; Implementation ofßtheßCountercyclical Capital Buffer; Implementation along withßtheßCapital Conservation Buffer; G-SIB Surcharge; Assessing theßSystemic Importance ofßG-SIBs; A Sample ofßBanks; How toßIdentify G-SIBs; The Loss Absorbency forßG-SIBs; Total Loss Absorbing Capacity inßFinancial Stability Board (FSB); The Calibration ofßMinimum TLAC; TLAC Instrument's Eligibility Criteria; A Brief History ofßtheßCapital Requirement Framework; Conclusions; Notes.
The Minimum Capital Requirements forßMarketßRiskA Revised Internal Models Approach (IMA); A Revised Standardized Approach (SA); A Shift fromßValue-at-Risk toßanßExpected Shortfall Measure ofßRisk UnderßStress; Incorporation ofßtheßRisk ofßMarket Illiquidity; A Revised Boundary BetweenßtheßTrading Book andßBankingßBook; Conclusion; Notes; References; Counterparty Credit Risk; IMM Approach forßManaging Counterparty Credit Risk; Introduction; Motivations ofßDeveloping IMM; Monte Carlo Simulation Framework; Market Factor Simulation; Trade Pricing at Future Scenarios; Exposure Profile Generation.
Implementation ofßtheßComponentsCalculation ofßEffective EPE; Backtesting Methodology; A Case Study; Discussion; Conclusions; Note; References; XVA inßtheßWake ofßtheßFinancial Crisis; Introduction; Credit Valuation Adjustment; Brief Interlude: Credit Support Annexes (CSA); CVA asßValue; Example: Interest Rate Swap andßCross-currency Swap; Managing CVA Risk; CVA (Aka Counterparty Management (CPM)) Desks; Close Out Risk; Wrong-Way Risk (WWR) Mathematically; Wrong-Way Risk fromßaßTrader's Perspective; Wrong-Way Risk Can Generate Large Losses Even If There Is No Default.
Calculation ofßCapital Conservation BufferFramework ofßtheßCapital Conservation Buffer; Countercyclical Capital Buffer inßBasel III; Implementation ofßtheßCountercyclical Capital Buffer; Implementation along withßtheßCapital Conservation Buffer; G-SIB Surcharge; Assessing theßSystemic Importance ofßG-SIBs; A Sample ofßBanks; How toßIdentify G-SIBs; The Loss Absorbency forßG-SIBs; Total Loss Absorbing Capacity inßFinancial Stability Board (FSB); The Calibration ofßMinimum TLAC; TLAC Instrument's Eligibility Criteria; A Brief History ofßtheßCapital Requirement Framework; Conclusions; Notes.
The Minimum Capital Requirements forßMarketßRiskA Revised Internal Models Approach (IMA); A Revised Standardized Approach (SA); A Shift fromßValue-at-Risk toßanßExpected Shortfall Measure ofßRisk UnderßStress; Incorporation ofßtheßRisk ofßMarket Illiquidity; A Revised Boundary BetweenßtheßTrading Book andßBankingßBook; Conclusion; Notes; References; Counterparty Credit Risk; IMM Approach forßManaging Counterparty Credit Risk; Introduction; Motivations ofßDeveloping IMM; Monte Carlo Simulation Framework; Market Factor Simulation; Trade Pricing at Future Scenarios; Exposure Profile Generation.
Implementation ofßtheßComponentsCalculation ofßEffective EPE; Backtesting Methodology; A Case Study; Discussion; Conclusions; Note; References; XVA inßtheßWake ofßtheßFinancial Crisis; Introduction; Credit Valuation Adjustment; Brief Interlude: Credit Support Annexes (CSA); CVA asßValue; Example: Interest Rate Swap andßCross-currency Swap; Managing CVA Risk; CVA (Aka Counterparty Management (CPM)) Desks; Close Out Risk; Wrong-Way Risk (WWR) Mathematically; Wrong-Way Risk fromßaßTrader's Perspective; Wrong-Way Risk Can Generate Large Losses Even If There Is No Default.