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• Name Concentration
  ...d in context: For example in relation to total assets, to available [[Risk Capital]] etc. ...he long standing recognition of this risk, a consistent interpretation and measurement is still lacking, although there are a number of tools available
  2 KB (289 words) - 10:51, 23 June 2019
• AMA Models
  ...nder the Basel<ref>Basel II Accord, 2006</ref> regulatory standard for the measurement and capitalisation of [[Operational Risk]] ...owed (subject to approval) to develop own risk models to quantify required capital for operational risk.
  2 KB (238 words) - 14:34, 19 November 2019
• Backtesting
  ...testing” in conjunction with the internal models approach to market risk capital requirements ...ef>BCBS Working Paper No. 19 Messages from the academic literature on risk measurement for the trading book</ref>
  3 KB (371 words) - 23:40, 9 March 2021
• Basel II Advanced IRB Capital Model
  ...a set of credit risk measurement techniques proposed under [[Basel II]] [[capital adequacy]] rules for banking institutions. ...anks are allowed to develop their own empirical model to quantify required capital for credit risk. Banks can use this approach only subject to approval from
  7 KB (1,023 words) - 12:30, 26 March 2021
• Sector Concentration
  ...For example in relation to total assets, to available [[Risk Capital|risk capital]] etc. ...he long standing recognition of this risk, a consistent interpretation and measurement is still lacking, although there are a number of tools available
  2 KB (300 words) - 15:05, 27 October 2019
• Diversification versus Diversity
  ...h investments, insurance and loans to companies and households<ref>Natural Capital Coalition, 2018</ref><ref>Mulder & Koellner, 2011</ref>, <ref>The Sustainab Measuring diversification means essentially the measurement of the ''rate of change of diversity''. It can use the same tools as measur
  3 KB (384 words) - 16:51, 5 December 2023
• ICAAP
  '''ICAAP''' is an abbreviation of ''Internal Capital Adequacy Assessment Process'', a set of activities and processes that must ...tain, on an ongoing basis, the amounts, types and distribution of internal capital commensurate to their risk profiles, as well as robust governance and inter
  3 KB (369 words) - 12:39, 25 September 2020
• Portfolio Management
  * Data Infrastructure and Analytics / Measurement Tools === Data Infrastructure and Analytics / Measurement Tools ===
  3 KB (437 words) - 13:56, 29 May 2022
• ASRF model
  ...s a simplified [[Credit Portfolio]] risk model that underpins the Basel II capital requirements ...bcbs118.htm Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS) (November 2005 Revision)], Paragraph
  5 KB (696 words) - 12:30, 26 March 2021
• Key Risk Indicator
  '''Key Risk Indicator''' (KRI) denotes a measurement of the degree of risk inherent in specific business activity, process or sy ...al institutions, KRI's are one of the possible inputs in the assessment of capital adequacy under Basel regulations ([[Business Environment and Internal Contr
  2 KB (268 words) - 11:28, 23 July 2018
• Credit Portfolio Management
  ...te, portfolio, setting.<ref>BIS, Range of practices and issues in economic capital frameworks, March 2009</ref> * Support the [[Capital Management | management of capital]] and financial returns
  7 KB (943 words) - 14:41, 15 November 2021
• Effective Maturity
  ...Regulation<ref>BCBS: International Convergence of Capital Measurement and Capital Standards</ref>
  1 KB (191 words) - 13:00, 22 May 2017
• Limit framework
  ...d legal entities as relevant and generally expressed relative to earnings, capital, liquidity or other relevant measures (e.g. growth, volatility); ...sk Committee | risk committees]] and taken into account in the performance measurement of the respective business lines.
  6 KB (837 words) - 13:38, 5 February 2020
• Expected Loss
  ...I standards<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>
  3 KB (509 words) - 10:19, 14 May 2021
• Product Concentration
  ...For example in relation to total assets, to available [[Risk Capital|risk capital]] etc. Product concentration depends on various characteristics of the port ...omer in the concentration risk vocabulary. A consistent interpretation and measurement is still lacking, although there are a number of tools available
  2 KB (230 words) - 12:01, 3 June 2017
• IFRS 9 Modeling Resources
  |Measurement of Credit Losses on Financial Instruments |Credit Enhancement in the Measurement of Expected Credit Losses
  24 KB (3,113 words) - 16:52, 1 September 2020
• Significant Increase in Credit Risk
  ...IFRS 9, a Significant Increase event (denoted SICR in short) triggers the measurement of [[Loss Allowance]] at an amount equal to [[Lifetime Expected Credit Loss ...(or parents) have an incentive and financial ability to prevent default by capital or cash infusion.
  7 KB (1,085 words) - 11:20, 22 December 2020
• IFRS 9
  * Embedding forward looking risk assessments in the measurement (assessment) of the firm's financial condition ...ls, banks solely using the standardised approach (SA) to determining their capital requirements may need to develop models from scratch
  8 KB (1,123 words) - 13:25, 25 October 2019
• FVOCI
  == Measurement == The FVOCI measurement category recognises information in [[Profit and Loss]] as if the financial
  5 KB (687 words) - 09:56, 9 June 2020
• Correlation Risk
  ...tion of the value of an instrument with multiple underlyings. <ref>Minimum capital requirements for market risk, BCBS D352</ref> ...Correlation Risk is a component of [[Model Risk]] for all efforts of risk measurement that concern composite risks (e.g. in portfolio management context)
  702 bytes (95 words) - 11:45, 3 June 2017
• Risk Aggregation
  '''Risk Aggregation''' denotes a stage of the [[Risk Measurement]] process where different risks are considered jointly in order to obtain a ...a review of firms’ internal risk aggregation methods under the Internal Capital Adequacy Assessment Process ([[ICAAP]]) required for Pillar 2 of the Basel
  1 KB (164 words) - 19:25, 5 October 2019
• Concentration Risk
  ...ive method, which is applied automatically and translated into a Pillar II capital expectation ...that set Pillar II capital expectations, only a few set explicit Pillar II capital expectations for concentration risk. It is more common for supervisors to c
  4 KB (601 words) - 11:01, 24 September 2020
• Credit Portfolio Model
  * the credit risk measurement infrastructure that must be in place * the linkage of the framework to liabilities (ALM / Capital Management)
  3 KB (429 words) - 14:55, 23 June 2020
• General Provisions
  ...identified<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref> == Capital Treatment under Basel II/III ==
  1 KB (201 words) - 14:07, 8 October 2018
• Total Eligibile Provisions
  ...ted assets.<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref> == Capital Treatment under Basel II/III ==
  2 KB (229 words) - 14:11, 8 October 2018
• Regulatory Expected Loss
  ...ry standard<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>. It denotes the ratio of the amount expected to be lo ...estimate of expected loss on the asset represents the [[NPL Risk Capital | capital requirement]] for that asset
  2 KB (266 words) - 10:18, 14 May 2021
• Specific Provisions
  ...edit assets<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>
  406 bytes (48 words) - 14:11, 8 October 2018
• 1-year Probability of Default
  ...ry standard<ref>BCBS, International Convergence of Capital Measurement and Capital Standards, 2006</ref>
  376 bytes (50 words) - 17:07, 2 June 2017
• Cure Rate
  ...overall [[Loss Allowance]] calculation (which also affects the [[NPL Risk Capital]] calculation). ...re rate is defined with respect to specific [[Default Definition]], so its measurement will depend on the choice made
  7 KB (1,026 words) - 12:28, 9 June 2021
• IFRS 9 Model Validation
  ...stablish the necessary steps to ensure that the credit risk assessment and measurement models are able to generate accurate, consistent and unbiased predictive es ...measurement of ECL allowances for accounting purposes, stress testing and capital allocation.
  6 KB (893 words) - 12:53, 16 September 2021
• Current Expected Credit Loss
  * Embedding forward looking risk assessments in the measurement (assessment) of the firm's financial condition ...ls, banks solely using the standardised approach (SA) to determining their capital requirements may need to develop models from scratch
  4 KB (582 words) - 11:15, 15 November 2018
• Default Rate
  == Measurement Choices == ...of factors ([[Competing Risks]]) may modify the number of entities in the measurement portfolio due to causes unrelated to credit risk
  11 KB (1,612 words) - 14:40, 6 September 2020
• Non-Performing Loan Valuation
  |Collateral and other credit enhancements and the measurement of ECL |Inclusion of cash flows expected from the sale on default of a loan in the measurement of ECL
  16 KB (2,148 words) - 11:27, 18 October 2020
• Risk-Adjusted Return on Capital
  ...rance etc). RAROC is defined as the ratio of expected return to [[Economic Capital]]
  569 bytes (73 words) - 16:37, 1 August 2018
• Independent Risk Management
  ...sks and measuring the bank’s exposure to them (a process known as [[Risk Measurement]] ...k appetite, risk limits and corresponding capital or liquidity needs (ie [[Capital Planning]]);
  3 KB (366 words) - 23:04, 25 November 2020
• External Credit Assessment Institution
  ...recognized in the European Union for the purposes of Article 113(1) of the Capital Requirements Directive (CRR) | [https://www.ciratings.com Capital Intelligence Ratings Ltd] || Capital Intelligence Ratings (CI Ratings) is an international credit rating agency
  14 KB (2,064 words) - 22:31, 27 September 2021
• How to Estimate Lifetime PD from 12 month PD
  ...will typically be the case where such an estimate is used for [[Regulatory Capital]] purposes. Re-using estimates or data / models would thus both be efficien [[Category:Measurement]]
  3 KB (469 words) - 17:56, 5 June 2019
• SME Credit Risk Literature
  | Random Survival Forests Models for SME Credit Risk Measurement ...|| Germany, France || Default Rate Volatility, Correlations || Regulatory Capital
  8 KB (1,007 words) - 13:00, 7 September 2020
• Capital Labor Energy Materials Multifactor Productivity
  '''Capital Labor Energy Materials Multifactor Productivity'''. A ratio of a quantity i ...iciency change, economies of scale, variations in capacity utilisation and measurement errors.
  1 KB (157 words) - 11:19, 8 October 2019
• Capital Labor Multifactor Productivity Value Added
  ...a quantity index of value added to a quantity index of combined labor and capital input ...nomies of scale, efficiency change, variations in capacity utilisation and measurement errors.
  1 KB (194 words) - 11:19, 8 October 2019
• BCBS 24
  ''Amendment to the Capital Accord to incorporate market risks''. ...three-part package of documents issued by the Basle Committee to amend the Capital Accord of July 1988 to take account of market risks.</p>
  2 KB (276 words) - 11:45, 26 March 2021
• Project Finance
  ...ne or more sponsoring firms) for the purpose of financing a single purpose capital asset, usually with a limited life. ...sectors (see list) that might be hard to finance in traditional Banking or Capital Markets
  4 KB (633 words) - 13:56, 15 June 2023
• IRRBB
  ...are key factors taken into account by supervisors when evaluating banks ́ capital adequacy under the [[SREP]]<ref>Basel Committee on Banking Supervision, "Ov ...osure and outlier identification purposes, while insisting on the internal measurement systems for risk management and the [[ICAAP]].
  3 KB (359 words) - 14:21, 5 February 2020
• BCBS 34
  <p>A. Capital Adequacy Principles paper</p> <p>B. Supplement to the Capital Adequacy Principles paper</p>
  7 KB (1,036 words) - 11:46, 26 March 2021
• BCBS 258
  ...These measures include the introduction of a leverage ratio, an additional capital surcharge for global systemically important banks (G-SIBs), a proposed fram ...n over time as risk coverage has been expanded and more sophisticated risk measurement methodologies have been introduced.</p>
  5 KB (796 words) - 11:45, 26 March 2021
• BCBS 106
  ''Principles for the home-host recognition of AMA operational risk capital''. ...a group-wide AMA capital requirement might calculate the operational risk capital requirements of its subsidiaries.</p>
  5 KB (657 words) - 11:39, 26 March 2021
• BCBS 107
  ''International Convergence of Capital Measurement and Capital Standards - A Revised Framework''. ...at were not revised during the Basel II process, the 1996 Amendment to the Capital Accord to Incorporate Market Risks, and the 2005 paper on The Application o
  20 KB (3,034 words) - 11:39, 26 March 2021
• BCBS 109
  ...blished the document "International Convergence of Capital Measurement and Capital Standards, a Revised Framework" (widely known as Basel II). While this revi ...so ensure that banks that do not implement Basel II are subject to prudent capital regulation and sound accounting and provisioning policies.</p>
  5 KB (748 words) - 11:39, 26 March 2021
• BCBS 11 B
  ...rest rate risk do not involve capital charges because they adress only teh measurement of interst rate risk.</p>
  2 KB (289 words) - 11:39, 26 March 2021
• BCBS 111
  ...em>, including the June 2004 Basel II Framework, the 1996 Amendment to the Capital Accord to Incorporate Market Risks, and the 2005 paper on The Application o ...Framework describes a more comprehensive measure and minimum standard for capital adequacy that national supervisory authorities represented on the BCBS are
  7 KB (1,008 words) - 11:43, 26 March 2021
• BCBS 112
  ...implementation of the International Convergence of Capital Measurement and Capital Standards: A Revised Framework (hereafter the Revised Framework), especiall ...nt Group deemed it appropriate to review the risk-sensitivity and level of capital required under the current trading book regime. In this survey, special emp
  6 KB (842 words) - 11:43, 26 March 2021
• BCBS 114
  ...ound risk management and controls and maintain the integrity of regulatory capital measures.</p> ...option when assessing the adequacy of bank risk management and regulatory capital.</li>
  3 KB (504 words) - 11:43, 26 March 2021
• BCBS 115
  ...he quantification of loss-given-default (LGD) parameters used for Pillar 1 capital calculations. In particular, the Committee was asked to further elaborate o ...etween default rates and recovery rates are reflected in internal economic capital models varies considerably across institutions.</p>
  6 KB (813 words) - 11:43, 26 March 2021
• BCBS 116
  ...were not revised during the Basel II process and the 1996 Amendment to the Capital Accord to Incorporate Market Risks.</strong></p> ...Framework2 describes a more comprehensive measure and minimum standard for capital adequacy that national supervisory authorities represented on the BCBS are
  6 KB (932 words) - 11:43, 26 March 2021
• BCBS 118
  ''International Convergence of Capital Measurement and Capital Standards - A Revised Framework''. ...at were not revised during the Basel II process, the 1996 Amendment to the Capital Accord to Incorporate Market Risks, and the 2005 paper on the Application o
  19 KB (2,931 words) - 12:29, 26 March 2021
• BCBS 119
  ''Amendment to the Capital Accord to incorporate market risks''. ...ensive version of <em>International Convergence of Capital Measurement and Capital Standards: A Revised Framework</em>, including the June 2004 Basel II Frame
  3 KB (453 words) - 11:43, 26 March 2021
• BCBS 121
  ...data and processes may be used for credit risk assessment, accounting and capital adequacy purposes and highlights provisioning concepts that are consistent ...n assessing the adequacy of a bank's credit risk assessment and regulatory capital. </li>
  7 KB (1,077 words) - 11:43, 26 March 2021
• BCBS 126
  ...ing credit risk, accounting for loan impairment and determining regulatory capital requirements. The guidance supersedes Sound practices for loan accounting a ...ment and reasonable estimates are an essential part of the recognition and measurement of loan losses.</li>
  4 KB (589 words) - 11:43, 26 March 2021
• BCBS 128
  ''International Convergence of Capital Measurement and Capital Standards: A Revised Framework - Comprehensive Version''. ...05 paper on Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework. No new elements have been introduced in thi
  3 KB (386 words) - 14:45, 9 April 2021
• BCBS 131
  ''Observed range of practice in key elements of Advanced Measurement Approaches (AMA)''. ...ents of Basel II¹ , particularly as they relate to the Advanced Measurement Approaches (AMA). The AIGOR has been specifically mandated to, among other
  7 KB (1,148 words) - 11:43, 26 March 2021
• BCBS 133
  ...pervisory cooperation and allocation mechanisms in the context of Advanced Measurement Approaches (AMA)''. ...paper <em>Principles for the home-host recognition of AMA operational risk capital</em> (Hybrid AMA paper) and specifically addresses allocation mechanisms de
  4 KB (601 words) - 11:43, 26 March 2021
• BCBS 134
  ''Guidelines for Computing Capital for Incremental Default Risk in the Trading Book''. ...remental default risk charge (IDRC) was incorporated into the trading book capital regime in response to the increasing amount of exposure in banks' trading b
  4 KB (627 words) - 11:43, 26 March 2021
• BCBS 135
  ...pervisory cooperation and allocation mechanisms in the context of Advanced Measurement Approaches (AMA)''. ...paper <em>Principles for the home-host recognition of AMA operational risk capital</em> (Hybrid AMA paper) and specifically addresses allocation mechanisms de
  4 KB (525 words) - 11:43, 26 March 2021
• BCBS 137
  ''Fair value measurement and modelling: An assessment of challenges and lessons learned from the mar ...the related control, audit and governance practices surrounding fair value measurement. In response to the market turmoil that emerged during mid-2007, the scope
  3 KB (431 words) - 11:43, 26 March 2021
• BCBS 148
  ...ion risk, for unsecuritised credit products. For securitised products, the capital charges of the banking book would apply. Once implemented, the IRC will red ...tressed VaR requirement will help reduce the procyclicality of the minimum capital requirements for market risk.</p>
  3 KB (471 words) - 11:43, 26 March 2021
• BCBS 159
  ''Guidelines for computing capital for incremental risk in the trading book''. ...2008, it reviewed comments received and decided to expand the scope of the capital charge. The decision was taken in light of the recent credit market turmoil
  7 KB (1,041 words) - 12:46, 26 March 2021
• BCBS 16
  ''Planned supplement to the Capital Accord to incorporate market risks''. ...he use of banks' internal risk measurement systems as a basis for applying capital charges.</p>
  2 KB (319 words) - 11:44, 26 March 2021
• BCBS 165
  ''International framework for liquidity risk measurement, standards and monitoring – consultative document''. ...on has issued for consultation a package of proposals to strengthen global capital and liquidity regulations with the goal of promoting a more resilient banki
  6 KB (943 words) - 11:44, 26 March 2021
• BCBS 181
  ...surance to mitigate the operational risk capital charge under the advanced measurement approach (AMA). The implementation of this provision has raised some challe
  2 KB (273 words) - 11:44, 26 March 2021
• BCBS 183
  ...sk</em> and <em>Operational Risk - Supervisory Guidelines for the Advanced Measurement Approaches</em>.</p> ...ture and converge towards a narrower band of effective risk management and measurement practices. The guidance seeks to better achieve this by setting out supervi
  3 KB (385 words) - 11:44, 26 March 2021
• BCBS 184
  ''Operational Risk - Supervisory Guidelines for the Advanced Measurement Approaches - consultative document''. ...sk</em> and <em>Operational Risk - Supervisory Guidelines for the Advanced Measurement Approaches</em>.</p>
  3 KB (385 words) - 11:44, 26 March 2021
• BCBS 188
  ''Basel III: International framework for liquidity risk measurement, standards and monitoring''. ...es text, which presents the details of global regulatory standards on bank capital adequacy and liquidity agreed by the Governors and Heads of Supervision, an
  9 KB (1,428 words) - 11:44, 26 March 2021
• BCBS 193
  ...banks may be allowed by their supervisor to calculate a comprehensive risk capital charge subject to strict qualitative minimum requirements as well as stress ...t-risk requirement will also help reduce the procyclicality of the minimum capital requirements for market risk.</p>
  4 KB (631 words) - 11:44, 26 March 2021
• BCBS 196
  ''Operational Risk - Supervisory Guidelines for the Advanced measurement Approaches''. ...l Risk</em> and Operational Risk - Supervisory Guidelines for the Advanced Measurement Approaches.</p>
  2 KB (317 words) - 11:44, 26 March 2021
• BCBS 203
  ...he status of domestic rule-making processes to ensure that the Committee's capital standards are transformed into national law or regulation according to the ...ential or level playing field concerns. The framework will also review the measurement of risk-weighted assets in both the banking book and the trading book to en
  3 KB (427 words) - 11:44, 26 March 2021
• BCBS 208
  ...risk framework</em> ("the Revisions") and the <em>Guidelines for computing capital for incremental risk in the trading book</em> ("the IRC Guidelines"). Updat ...ment refer to the <em>International convergence of capital measurement and capital standards: A revised framework</em>, comprehensive version, June 2006, as a
  3 KB (381 words) - 11:44, 26 March 2021
• BCBS 253
  ''Capital treatment of bank exposures to central counterparties - consultative docume ...exposures to CCPs, exposures which had previously attracted no regulatory capital charge.</p>
  4 KB (586 words) - 11:45, 26 March 2021
• BCBS 265
  ...has today issued a second consultative paper on the fundamental review of capital requirements for the trading book. The paper comprises a detailed set of pr ...of designing a new regulatory framework that addresses weaknesses in risk measurement under the current internal models-based and standardised approaches, with a
  5 KB (782 words) - 13:07, 16 April 2021
• BCBS 286
  ...tio's denominator (ie RWA) and to assess more effectively a bank's overall capital adequacy. The disclosures are also a particular response to concerns about
  3 KB (483 words) - 11:45, 26 March 2021
• BCBS 3 A
  ...Supervision]] on December 1987 in the [[:Category:BCBS Bank Capital | Bank Capital]] category. ''Consultative Document - Proposals for International Convergence of capital measurement and standards''.
  2 KB (336 words) - 11:46, 26 March 2021
• BCBS 4 A
  ...ing Supervision]] on July 1988 in the [[:Category:BCBS Bank Capital | Bank Capital]] category. ''International convergence of capital measurement and capital standards''.
  2 KB (355 words) - 11:46, 26 March 2021
• BCBS 43
  ...ks, banking supervisors and accounting standard-setters on recognition and measurement of loans, establishment of loan loss allowances, credit risk disclosure and ...tly affect the accuracy of financial and supervisory reporting and related capital calculations. Moreover, sound accounting and disclosure practices are essen
  4 KB (610 words) - 11:46, 26 March 2021
• BCBS 47
  ...cess, the Joint Forum conducted practical testing exercises on its work on capital adequacy and considered further the practical issues involved in the identi <p>A. Capital Adequacy Principles</p>
  10 KB (1,422 words) - 11:46, 26 March 2021
• BCBS 49
  ...es in overcoming these hurdles in the timescale envisaged for amending the Capital Accord.</p>
  3 KB (428 words) - 11:46, 26 March 2021
• BCBS 50
  ''A New Capital Adequacy Framework''. ...lace the 1988 Accord (International Convergence of Capital Measurement and Capital Standards, July 1988) The Committee seeks views on its proposed approaches
  2 KB (322 words) - 11:46, 26 March 2021
• BCBS 52
  ...me cases, exposures to a single counterparty in excess of an institution's capital.</p> ...te policies, procedures and settlement exposure limits. FX settlement risk measurement systems should provide appropriate and realistic estimates of settlement ex
  4 KB (546 words) - 12:16, 7 September 2021
• BCBS 54
  ...or and control credit risk as well as to determine that they hold adequate capital against these risks and that they are adequately compensated for risks incu ...-granting process; (iii) maintaining an appropriate credit administration, measurement and monitoring process; and (iv) ensuring adequate controls over credit ris
  7 KB (1,075 words) - 11:46, 26 March 2021
• BCBS 55
  ...ment provides guidance to banks and banking supervisors on recognition and measurement of loans, establishment of loan loss allowances, credit risk disclosure and ...tly affect the accuracy of financial and supervisory reporting and related capital calculations. Moreover, sound accounting and disclosure practices are essen
  4 KB (641 words) - 11:46, 26 March 2021
• BCBS 57
  ''Performance of Models-Based Capital Charges for Market Risk: 1 July-31 December 1998''. ...ng the robustness of the models. Nevertheless, it should be noted that the capital charge under the internal models approach provided an adequate buffer again
  3 KB (382 words) - 11:46, 26 March 2021
• BCBS 66
  ...e hopes that banks will further refine internal credit risk management and measurement techniques.</p> ...ing an evolutionary structure that moves rapidly toward basing credit risk capital requirements on a bank's internal ratings to the extent that current bank a
  6 KB (885 words) - 11:46, 26 March 2021
• BCBS 68
  ...funds, as witnessed, in particular, during the near-collapse of Long-Term Capital Management. A year after the publication of its original analysis and recom ...tions, collateral management arrangements when dealing with HLIs, and risk measurement practices. These improvements by banks play a critical role in the reductio
  6 KB (868 words) - 11:46, 26 March 2021
• BCBS 73
  ...unt at risk to even a single counterparty could in some cases exceed their capital.</p> ...e senior management oversight. As part of this process, a bank has to have measurement systems that provide appropriate and realistic estimates of FX settlement e
  4 KB (625 words) - 11:46, 26 March 2021
• BCBS 75
  ...or and control credit risk as well as to determine that they hold adequate capital against these risks and that they are adequately compensated for risks incu ...-granting process; (iii) maintaining an appropriate credit administration, measurement and monitoring process; and (iv) ensuring adequate controls over credit ris
  7 KB (1,103 words) - 11:46, 26 March 2021
• BCBS 79
  ...he financial industry, particularly in challenging technical areas such as measurement of potential future credit exposure and stress testing. The paper set out a ...ucture, information gathering, due diligence and credit analysis, exposure measurement, credit terms and limit setting, and collateral, early termination and docu
  6 KB (861 words) - 11:46, 26 March 2021
• BCBS 92
  ...of directors and senior management in the areas of internal controls, risk measurement and compliance with laws and regulations. The importance of internal audito ...ed in the survey, as this assessment is not yet a formal part of the Basel Capital Accord.</p>
  6 KB (913 words) - 14:37, 4 October 2021
• BCBS 97
  ...to promote transparency and effective market discipline in the banking and capital markets.</p> ...parency, especially in light of the coming implementation of the New Basel Capital Accord. Together with a similar survey conducted during the previous two ye
  5 KB (732 words) - 11:47, 26 March 2021
• BCBS C111
  ...ing Supervision]] on July 1988 in the [[:Category:BCBS Bank Capital | Bank Capital]] category. ''International convergence of capital measurement and capital standards''.
  3 KB (378 words) - 11:47, 26 March 2021
• BCBS D296
  ...assessing the systemic importance of banks consists of an indicator-based measurement approach. The indicators are calculated based on data for the previous fisc ...ect by 1 January 2019, consistent with the implementation schedule for the capital conservation buffer. By 1 January 2016, therefore, banks will only need to
  4 KB (599 words) - 11:47, 26 March 2021
• BCBS D305
  ...tent implementation of the rules so that they produce comparable levels of capital across jurisdictions.</p> ...put forward a revised market risk framework to address weaknesses in risk measurement under the current framework's internal models-based and standardised approa
  5 KB (724 words) - 11:47, 26 March 2021
• BCBS D306
  ''Capital floors: the design of a framework based on standardised approaches''. ...led approaches. The proposed floor would replace the existing transitional capital floor based on the Basel I framework. The floor will be based on revised st
  3 KB (395 words) - 11:47, 26 March 2021
• BCBS D325
  ...tory capital standard; (ii) align the capital standard with the fair value measurement of CVA employed under various accounting regimes; and (iii) ensure consiste ...y a bank from the deterioration in a counterparty's creditworthiness. This capital treatment addresses any variability in CVA that arises due to changes in cr
  4 KB (561 words) - 11:47, 26 March 2021
• BCBS D350
  ...ulatory capital requirements on expected loss provisioning under the Basel capital framework.</p> ...ure. The bank risk management function's involvement in the assessment and measurement of accounting ECL is essential to ensuring adequate allowances in accordanc
  3 KB (471 words) - 11:47, 26 March 2021
• BCBS D355
  ''Standardised Measurement Approach for operational risk - consultative document''. ...s to the framework, which emerged from the Committee's broad review of the capital framework.</p>
  3 KB (412 words) - 11:48, 26 March 2021
• BCBS D365
  ...e leverage ratio framework is critical and complementary to the risk-based capital framework and that a credible leverage ratio is one that ensures broad and <li> <p>measurement of derivative exposures;</p> </li>
  3 KB (503 words) - 11:48, 26 March 2021
• BCBS D368
  ...sk</em>, which set out supervisory expectations for banks' identification, measurement, monitoring and control of IRRBB as well as its supervision. The key enhanc ...y behavioural and modelling assumptions to be considered by banks in their measurement of IRRBB;</li>
  3 KB (450 words) - 12:21, 16 September 2021
• BCBS D436
  ''Revisions to the minimum capital requirements for market risk - consultative document, March 2018''. ...the Basel Committee on Banking Supervision published the standard Minimum capital requirements for market risk.</p>
  3 KB (440 words) - 11:49, 26 March 2021
• BCBS D451
  ...ng gaming and model risk across both internal models and standardised risk measurement approaches. By design, the leverage ratio does not differentiate risk acros ...both to prevent excessive leverage and improve the quality and quantity of capital in the banking system and to promote central clearing of standardised deriv
  4 KB (536 words) - 11:49, 26 March 2021
• BCBS D467
  ...asuring counterparty credit risk exposures (SA-CCR) as used for risk-based capital requirements. This treatment will permit both cash and non-cash forms of se ...version of the leverage ratio standard that serves as the Pillar 1 minimum capital requirement as of 1 January 2022.</p>
  3 KB (479 words) - 11:49, 26 March 2021
• BCBS D502
  ...erwhelmingly large share of members have conducted research related to the measurement of climate-related financial risks, while a number of members identified op ...yet considered factoring, the mitigation of such risks into the prudential capital framework.</li>
  2 KB (350 words) - 11:49, 26 March 2021
• BCBS JOINT2
  <p><strong>Capital Adequacy Principles:</strong><br/>Compendium (PDF): Pages 9-28 | PDF Feb 19 ...ines measurement techniques and principles to facilitate the assessment of capital adequacy on a group-wide basis for financial conglomerates. This paper was
  7 KB (956 words) - 11:50, 26 March 2021
• BCBS JOINT31
  ...tely high qualitative and quantitative standards, including provisions and capital requirements for expected and unexpected increases in life expectancy.</li>
  5 KB (643 words) - 13:09, 16 April 2021
• BCBS JOINT34
  ...tely high qualitative and quantitative standards, including provisions and capital requirements for expected and unexpected increases in life expectancy.</li>
  5 KB (691 words) - 13:10, 16 April 2021
• BCBS JOINT6
  ...er 2001 Joint Forum paper) that compared approaches to risk management and capital regulation across the sectors.</p> ...rive operational risk management, including regulatory requirements (e.g., capital), the trade-off between risk and return, and the importance of mitigating t
  6 KB (929 words) - 11:50, 26 March 2021
• BCBS NL7
  ...f paragraph 669(b) of International Convergence of Capital Measurement and Capital Standards: A Revised Framework (Basel II Framework).</p>
  2 KB (259 words) - 11:50, 26 March 2021
• BCBS WP14
  ...r key drivers of credit risk as primary inputs to their minimum regulatory capital calculation, subject to meeting certain conditions and to explicit supervis ...visors to assess the soundness and appropriateness of internal credit risk measurement and management systems, the development of methodologies for validating ext
  4 KB (671 words) - 11:50, 26 March 2021
• BCBS WP16
  * Keywords: [[Credit Risk Measurement]], [[Economic Capital]], [[Credit Risk]], [[Market Risk]]
  2 KB (292 words) - 11:50, 26 March 2021
• BCBS WP19
  ''Messages from the academic literature on risk measurement for the trading book''. * Keywords: [[Trading Book]], [[Value At Risk]], [[Bank Capital]], [[Stress Testing]], [[Market Risk]], [[VAR]]
  2 KB (297 words) - 11:50, 26 March 2021
• BCBS WP2
  ...ice of supervisors, banks and ratings agencies in the area of country risk measurement and management that have already taken place in reaction to the crisis. How
  3 KB (372 words) - 11:50, 26 March 2021
• Riskwashing
  ...es<ref>Sustainability Improvement Loans: a risk-based approach to changing capital requirements in favour of sustainability outcomes, Jakob Thomä, Ben Caldec * In [[Risk Measurement]], avoid the unbiased quantification for the risks to an organization is f
  1 KB (204 words) - 11:49, 11 May 2021
• List of ESG Factors
  ! Measurement ! Measurement
  18 KB (2,504 words) - 12:08, 11 March 2024
• PACTA versus PCAF
  ...the top-down estimates make the approach a means to arrive at an estimated measurement, not a methodology for target-setting or portfolio steering * [[Paris Agreement Capital Transition Assessment]]
  2 KB (227 words) - 15:54, 15 November 2021
• Sustainable Portfolio Management
  * Analytics / Measurement Tools and Models === Analytics / Measurement Tools and Models ===
  2 KB (296 words) - 13:09, 16 June 2023