Basel IV, The Next Generation of Risk Weighted Assets by Martin Neisen,Stefan Röth -- Read -- Imperial Library of Trantor

Index

Cover Table of Contents Title Copyright Foreword Preface 1 Revision of the Standardised Approach for Credit Risk

1.1 Introduction 1.2 Provisions in detail 1.3 Conclusions Recommended Literature

2 The Future of the IRB approach

2.1 Basel Committee’s initiatives to improve the IRB approach 2.2 Definition of Default 2.3 Risk estimates 2.4 Treatment of defaulted assets Recommended Literature

3 The New Standardised Approach for measuring Counterparty Credit Risk Exposures (SA-CCR)

4 The New Basel Securitisation Framework

4.1 Introduction 4.2 Current EU securitisation framework 4.3 Revisions to the securitisation framework 4.4 General Conclusions Recommended Literature

5 Basel IV for funds

5.1 Assignment to the trading book or banking book 5.2 Own funds requirements for funds in the banking book 5.3 Conclusion and impact Recommended Literature

6 Fundamental Review of the Trading Book: New Framework for Market Risks

6.1 Introduction 6.2 Trading book boundary 6.3 The revised standardised approach for market price risks 6.4 Internal Model Approach for market risk (IMA-TB) 6.5 Conclusions Recommended Literature

7 CVA Risk Capital Charge Framework

7.1 Credit Valuation Adjustment 7.2 FRTB-CVA framework 7.3 Basic CVA framework 7.4 Additional aspects and expected effects Recommended literature

8 Operational risk

8.1 Background information 8.2 Methods to determine operational risk pursuant to Basel II 8.3 Criticism of the existing approaches 8.4 Operational Risk — Revisions to the simpler approaches (BCBS 291) 8.5 Standardised Measurement Approach for operational risk (BCBS 355) 8.6 Summary and conclusions Recommended Literature

9 Capital Floors

9.1 Introduction 9.2 Alternatives to design a capital floor 9.3 Conclusions Recommended Literature

10 New Basel Framework for Large Exposures

10.1 Background 10.2 Scope 10.3 Large exposure limits 10.4 Eligible capital 10.5 Counterparties and connected counterparties 10.6 Definition of exposure 10.7 Assessment base 10.8 Recognition of credit risk mitigation 10.9 Exemptions 10.10 Look-through of funds and securitisations 10.11 Regulatory reporting 10.12 Summary Recommended Literature

11 Disclosure

11.1 Introduction 11.2 Disclosure guidelines 11.3 Risk management and risk-weighted assets (RWA 11.4 Linkages between financial statements and regulatory exposures 11.5 Credit risk 11.6 Counterparty credit risk 11.7 Securitisation 11.8 Market risk 11.9 Enhancements to the revised Pillar 3 framework and further revisions and additions arising from ongoing reforms to the regulatory policy framework 11.10 Disclosures related to liquidity indicators 11.11 Conclusions and expected effects Recommended Literature

12 Interest Rate Risk in the Banking Book (IRRBB)

12.1 Regulatory treatment of interest rate risk in the banking book 12.2 The Standardised Framework 12.3 Principles for treatment within the framework of Pillar 2 12.4 Conclusion and expected impact Recommended literature

13 Corporate Governance

13.1 Initial situation 13.2 Principles on corporate governance for banks 13.3 Conclusions Recommended Literature

14 TLAC and MREL — Two initiatives, one goal

14.1 Background 14.2 The regulations in detail 14.3 Operational impact 14.4 Recent developments — TLAC/MREL in the CRR II /CRD V consultation package Recommended Literature

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