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1answer
44 views

What are the CMG-relevant banks according to Basel III?

I'm going through Basel III monitoring workbook and instruction. There's one row in "General Info -> A) General Bank Data -> 1) Reporting Data" part: "CMG-relevant: Yes/No?" I wonder what does this ...
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0answers
36 views

what is General IB2 Restriction in Basel II credit risk model

I was reading Basel II wiki page, it says: The first pillar The first pillar deals with maintenance of regulatory capital calculated for three major components of risk that a bank faces: ...
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0answers
127 views

Is it possible to model general wrong way risk via concentration risk?

General wrong way risk is defined as due to a positive correlation between the level of exposure and the default probability of the counterparty due to general market factors. (Specific wrong way risk ...
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2answers
231 views

which product supports Basel III LCR (liquidity coverage ratio) reporting?

After Jan 2013 change, now the main reporting changes requested from Basel III is LCR, Liquidity Coverage Ratio. Moody's has a product named RiskAuthority (previously Fermat CAD) that is going to ...
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2answers
986 views

Is Unexpected Loss ever used in Basel II?

In Basel II, EL is useful. It's calculated as $$EL = PD \cdot EAD \cdot LGD $$ in advance IRB (internal rate-based approach), Correlation $$R = 0.12 \frac{1 – e^{-50 \cdot PD}}{1 – e^{-50}} + 0.24 ...
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117 views

Basel CVA VaR with R/WWR

In Basel III the CVA VaR “is restricted to changes in the counterparties’ credit spreads and does not model the sensitivity of CVA to changes in other market factors, such as changes in the value of ...