Online Appendix for: Regulatory Capital and Incentives for Risk Model Choice under Basel 3

2020 ◽  
Author(s):  
Fred Liu ◽  
Lars Stentoft
Keyword(s):  
Risk Model ◽  
Model Choice ◽  
Regulatory Capital ◽  
Online Appendix ◽  
Basel 3

Regulatory Capital and Incentives for Risk Model Choice under Basel 3

2020 ◽  
Author(s):  
Fred Liu ◽  
Lars Stentoft
Keyword(s):  
Risk Model ◽  
Model Choice ◽  
Regulatory Capital ◽  
Basel 3

Part III Investment Banking, 13 Trading Book—Standardized Approaches

2018 ◽  
Author(s):  
Gleeson Simon
Keyword(s):  
Default Risk ◽  
Investment Banking ◽  
Market Risk ◽  
Expected Shortfall ◽  
Capital Adequacy ◽  
Third Party ◽  
Regulatory Capital ◽  
Var Models ◽  
Risk Models ◽  
Basel 3

This chapter discusses trading book models. Risk models come in a variety of types. However, for market risk purposes there have been a number of types which may be used within the framework. The simplest is the ‘CAD 1’ model — named after the first Capital Adequacy Directive, which permitted such models to be used in the calculation of regulatory capital. VaR models, permitted by Basel 2, were more complex, and this complexity was increased by Basel 2.5, which required the use of ‘stressed VAR’. In due course all of this will be replaced by the Basel 3 FRTB calculation, which rejects VAR and is based on the calculation of an expected shortfall (ES) market risk charge, a VaR based default risk charge (DRC) (for those exposures where the bank is exposed to the default of a third party), and a stressed ES-based capital add-on.

THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL

2016 ◽  
Vol 46 (2) ◽  
pp. 431-467
Author(s):  
Mark S. Joshi ◽  
Dan Zhu
Keyword(s):  
Finite Time ◽  
Risk Model ◽  
Structural Parameters ◽  
Classical Model ◽  
Management Strategies ◽  
Rare Event ◽  
Insurance Companies ◽  
Ruin Probabilities ◽  
Efficient Computation ◽  
Regulatory Capital

AbstractSolvency regulations require financial institutions to hold initial capital so that ruin is a rare event. An important practical problem is to estimate the regulatory capital so the ruin probability is at the regulatory level, typically with less than 0.1% over a finite-time horizon. Estimating probabilities of rare events is challenging, since naive estimations via direct simulations of the surplus process is not feasible. In this paper, we present a stratified sampling algorithm for estimating finite-time ruin probabilities. We further introduce a sequence of measure changes to remove the pathwise discontinuities of the estimator, and compute unbiased first and second-order derivative estimates of the finite-time ruin probabilities with respect to both distributional and structural parameters. We then estimate the regulatory capital and its sensitivities. These estimates provide information to insurance companies for meeting prudential regulations as well as designing risk management strategies. Numerical examples are presented for the classical model, the Sparre Andersen model with interest and the periodic risk model with interest to demonstrate the speed and efficacy of our methodology.

244 Derivation and validation of a clinical risk-model in heart failure based on 6-min walk test performance and NT-proBNP status

2007 ◽  
Vol 6 (1) ◽  
pp. 46-46
Author(s):  
L FRANKENSTEIN ◽  
L INGLE ◽  
A REMPPIS ◽  
D SCHELLBERG ◽  
C SIGG ◽  
...  
Keyword(s):  
Heart Failure ◽  
Test Performance ◽  
Risk Model ◽  
Walk Test ◽  
Clinical Risk

Revisit the CD Paradox in Entry Model Choice: Toward the Perspective of Strategic Fit

2018 ◽  
Vol 18 (3) ◽  
pp. 86-103
Keyword(s):  
Joint Venture ◽  
Cultural Distance ◽  
Model Choice ◽  
Outward Fdi ◽  
Strategic Fit ◽  
Market Expansion ◽  
Technological Competence ◽  
Entry Model ◽  
Wholly Owned Subsidiary ◽  
Strategic Motives

The effect of cultural distance (CD) on the entry mode choice (EMC) has been intensively studied but the empirical results are mixed. This study adopts the strategic fit perspective to examine how firms’ strategic motives and technological ownerships may influence the EMC in face of different cultural distances. Analyzing Taiwanese outward FDI cases from 2004 to 2007, this study found that firms entering the culture-distant countries would choose the wholly-owned subsidiary (WOS) mode when emphasizing more about the protection of technological competence than market expansion, or else would choose the joint-venture (JV) mode when the market expansion is prioritized.

Fair Value Accounting and Regulatory Capital Requirements

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 10-11
Author(s):  
S. Brooks Marshall
Keyword(s):  
Fair Value ◽  
Capital Requirements ◽  
Regulatory Capital ◽  
Fair Value Accounting

Double Cox risk model of reinsurance with portfolio

2014 ◽  
Author(s):  
Yinju Niu ◽  
Yongli Luo ◽  
Yafeng Xia
Keyword(s):  
Risk Model
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