Hot answers tagged basel
So far I only know that SunGard has a product named "Ambit Focus", where its module "Liquidity Risk" supports the LCR and NSFR reports according to Basel III liquidity rules.
A good place to start is the BIS (Bank for International Settlements) site. To be more specific on the Basel Committee on Banking Supervision part of the site. http://www.bis.org/bcbs/index.htm In my case (Brasil´s Basel III) the central bank page is the best place to look for the specifics of Basel III implementation for my country. I imagine that´s the ...
OneSumX (FRS Global - now officially Wolters Kluwer Financial Services). Due to the impact on market risk (explicit creation of new contracts from available liquidity lines, firstly affected by interest rate risk) and on credit risk (negative exposure to be considered in the LCR, and not simply floored to zero) you might need both the market and liquidity ...
let me try answer my own questions, partially, from below that are exerpted from FRM exam notes. So actually the K above, is UL, though it derives only from PD and maturity, but the G, N and 0.999, actually are calculating the VaR and UL. So, CAR is defined based on EAD and K, while K means UL. the essence is, CAR is to cover Unexpected Loss -- captical ...
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