Credit Risk Measurement, Leverage Ratios and Basel III: Proposed Basel III Leverage and Supplementary Leverage Ratios

Optimizing Basel III Liquidity Coverage Ratios

Are corporates ’ target leverage ratios time - dependent ?

This paper extends the stationary-leverage-ratio model to incorporate a time-dependent target leverage ratio. The theoretical hypothesis of the existence of a time-dependent target leverage ratio reflects the movement of a firm’s initial target ratio toward a long-term target ratio over time. Using some simple scenarios about the time-dependence of the target leverage ratio, the numerical resul...

Credit lines and leverage adjustments

Article history: Received 11 June 2012 Received in revised form 19 December 2013 Accepted 20 December 2013 Available online 28 December 2013 Adjustment costs play a prominent role in explanations of capital structure, but the extent of their economic importance is unknown. A credit line has institutional features important for this analysis, notably its sunk costs of access to the debt market, ...

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 ...

Counterparty Credit Risk in OTC Derivatives under Basel III

Recent financial crises were the root of many changes in regulatory implementations in the banking sector. Basel previously covered the default capital charge for counterparty exposures however, the crisis showed that more than two third of the losses related to this risk emerged from the exposure to the movement of the counterparty’s credit quality and not its actual default therefore, Basel I...