Risk Management and Financial Institution Chapter 16 —— Basel II.5,Basel III, and Other Post-Crisis

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typora-copy-images-to: Risk Management and Financial Institution

Risk Management and Financial Institution Chapter 16 —— Basel II.5,Basel III, and Other Post-Crisis Changes

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• Basel III includes a series of rules concerned with increasing the amount of equity capital that banks have to keep for the risks being taken and tightening the definition of capital

• An important new feature of Basel III is the specification of liquidity requirements that must be met by banks对流动性需求有了规定

16.1 Basel II.5

• 执行日期是2011年12月31日，更改内容包括：
  • 压力VaR的计算
  • new incremental risk charge
  • 基于信用相关性的复杂风险测量工具

16.1.1 压力VaR

• stressed VaR is determined by basing calculations on how market variables moved during a 250-day (12-month) period of stressed market conditions, rather than on how they moved during the past one to four years.

• The two VaR measures are combined to calculate a total capital charge：

• The parameters ms and mc are multiplicative factors that are determined by bank supervisors and are at minimum equal to three

• 这种方式至少把原先的VaR值翻倍了，甚至三倍的资本金要求都不罕见

• A bank is now required to search for a one-year period that would be particularly stressful for its current portfolio

16.1.2 IRC incremental risk charge

• 一个bond 持有在trading book 以及 banking book 中的VaR 不同

• IRC 要求使用99.9%置信区间，一年展望期来计算违约风险敏感的工具

• The IRC requires banks to calculate a one-year 99.9% VaR for losses from credit-sensitive products in the trading book taking both credit rating changes and defaults into account

• 风险水平恒定假设会使得VaR值变小，巴塞尔委员会规定在计算IRC时，最小流动性区间为3个月

16.1.3 The Comprehensive Risk Measure 综合风险计量

• 针对对于违约相关性敏感的金融工具而设计的计量方法，ABS 、 CDO