Basel III FRTB: data pooling innovation to lower capital charges

Comparing Alternate Methods for Calculating CVA Capital Charges under Basel III

The global financial crisis brought counterparty credit risk and CVA very much into the spotlight. The Basel III proposals first published in December 2009 [2] introduced changes to the Basel II rules [1] including a new capital charge against the volatility of CVA. As the Basel committee noted, two thirds of the counterparty risk related losses during the credit crisis were actually from CVA v...

New Basel Capital Accord

The New Basel Capital Accord Comments of Finnish Authorities on the Second Consultative Document to the New Basel Capital Accord

On 16 January 2001, the Basel Committee on Banking Supervision released its consultative document on The New Basel Capital Accord. This paper presents the views of Finnish Authorities (Bank of Finland, Financial Supervision Authority and Ministry of Finance) on the document. Our comments on the Consultation Document concentrate on a number of key issues and are summarised as follows. The detail...

Operational risk : A Basel II++ step before Basel III

Following the Banking Committee on Banking Supervision, operational risk quantification is based on the Basel matrix which enables sorting incidents. In this paper we analyze these incidents in depth and propose strategies for carrying out the supervisory guidelines proposed by the regulators. The objectives are as follows: • On the first hand, banks need to provide a univariate capital charge ...

Ubs Response to the New Basel Capital Accord

The Committee expresses the desire to produce, on average, neither a net increase nor a net decrease in minimum regulatory capital, after allowing for operational risk. It is, however, difficult to see how, in practice, the Committee can calibrate the charges in such a way as to retain the current levels of capital, given the variety of approaches on offer, an uncertain migration path for many ...