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Margin of Conservatism
...in the context of the [[Internal Ratings-Based Approach]] option of the [[Basel III]] accord for the calculation of [[Pillar I]] capital requirements. It d ...tments and margin of conservatism. Comprehensive guidance on setting up a framework for assessing Margin of Conservatism in given in <ref>EBA, Guidelines on PD

9 KB (1,339 words) - 15:15, 21 May 2024
EU Financial Regulation
| The applicable capital requirements framework for banking institutions (Basel inspired) ...tps://ec.europa.eu/digital-single-market/en/eu-cybersecurity-certification-framework ENISA]

11 KB (1,404 words) - 20:56, 27 September 2021
Downturn LGD
...efault]] that is used as [[Risk Parameter]] in the Basel II/III regulatory framework for banks

6 KB (861 words) - 18:45, 7 November 2019
FX Lending Risk
...sitive credit parameters with one of the capitalization options offered by Basel II will capture the tail risks inherent in an FX lending portfolio. This is

3 KB (512 words) - 13:04, 16 April 2021
Risk Horizon
...is of residual liability risk expectations at the risk horizon enables the framework to support [[Going Concern Valuation | Going Concern]] Risk Capital analyse ...the 1yr risk horizon embedded in advanced internal rating based models for Basel II/III Regulatory Capital. This choice requires that loss allowance and ECL

3 KB (469 words) - 15:15, 21 May 2024
Probability of Default Model
A '''Probability of Default Model''' (PD Model) is any formal quantification framework that enables the calculation of a [[Probability of Default]] risk measure o ...firms as they are used for the calculation of own funds requirements under Basel III regulation

6 KB (863 words) - 17:49, 11 October 2019
Risk Distribution
...les are cases where a distribution is used as part of an overall modelling framework (which is multi-dimensional and/or involves time-dependent processes) ...|| Used as a simple model of portfolio loss (also in Basel II as the [[ASRF model]]) ||

10 KB (1,033 words) - 13:56, 18 October 2021
Equity Correlation Matrix
* The selection of a modelling framework: ** A minimal framework focusing on the empirical estimation of correlation via a number of possibl

11 KB (1,744 words) - 12:13, 10 June 2021
Economic versus Regulatory Capital
...irement under prevailing prudential rules and laws (such as [[Basel II]]/[[Basel III]]) regulations. While the two should in principle converge, a variety o * Simplifications inherent in the regulatory framework

602 bytes (82 words) - 12:29, 5 February 2020
BCBS 240
'''BCBS 240''' is a document published by the [[Basel Committee on Banking Supervision]] on January 2013 in the [[:Category:BCBS ...book. The programme aims to ensure consistent implementation of the Basel framework, which will help strengthen the resilience of the global banking system, ma

3 KB (400 words) - 11:45, 26 March 2021
Basel III
...]]. The Basel III standard aims to strengthen the requirements from the [[Basel II]] standard, taking into account the experience of the financial crisis. It is a comprehensive set of reform measures, developed by the Basel Committee on the supervision of the financial institutions to strengthen th

666 bytes (94 words) - 12:15, 31 March 2021
Pillar I
'''Pillar I''' is the first pillar of the Basel II/III regulatory framework. [[Category:BCBS Basel II]]

220 bytes (31 words) - 12:32, 26 March 2021
Pillar II
...[Risk Management]] techniques in monitoring and managing these risks. <ref>Basel Committee on Banking Supervision, "Overview of Pillar 2 supervisory review

717 bytes (95 words) - 12:02, 5 February 2020
IRRBB
...pervisors when evaluating banks ́ capital adequacy under the [[SREP]]<ref>Basel Committee on Banking Supervision, "Overview of Pillar 2 supervisory review ...-based measures, some supervisors require banks to follow the standardised framework set out in the Committee’s standard; however, some supervisors require ba

3 KB (359 words) - 14:21, 5 February 2020
Prompt Corrective Action Framework
...restore their financial health and make their balance sheets stronger<ref>Basel Committee on Banking Supervision, "Overview of Pillar 2 supervisory review ...s ([[SREP]]). Key indicators used for evaluation and invocation of the PCA framework are

2 KB (286 words) - 15:05, 5 February 2020
Pillar II Glossary
...exibility. As a result different Pillar II practices have developed. <ref>Basel Committee on Banking Supervision, "Overview of Pillar 2 supervisory review ...n Pillar 2 capital expectations, Pillar 1 minimum capital requirements and Basel III buffers. This often has important implications for how automatic constr

3 KB (460 words) - 15:13, 5 February 2020
BCBS 34
'''BCBS 34''' is a document published by the [[Basel Committee on Banking Supervision]] on February 1998 in the [[:Category:BCBS <p>D. Framework for Supervisory Information Sharing paper</p>

7 KB (1,036 words) - 11:46, 26 March 2021
BCBS 258
...on Banking Supervision]] on July 2013 in the [[:Category:BCBS Basel III | Basel III]] category. ''The regulatory framework: balancing risk sensitivity''.

5 KB (796 words) - 11:45, 26 March 2021
Business Continuity versus Business Model Risk
...he mitigation of business model risk is much less developed as a practical framework. ...uption is a recognized risk category in regulatory frameworks worldwide ([[Basel II]] standards), with a further subclassification as hardware, software, te

5 KB (690 words) - 14:30, 4 November 2020
BCBS 162
'''BCBS 162''' is a document published by the [[Basel Committee on Banking Supervision]] on September 2009 in the [[:Category:BCB <p>The report prepared by the Cross-border Bank Resolution Group of the Basel Committee sets out ten recommendations that reflect the lessons from the re

3 KB (416 words) - 11:44, 26 March 2021