typora-copy-images-to: Risk Management and Financial Institution

文章目录

• • typora-copy-images-to: Risk Management and Financial Institution
• Risk Management and Financial Institution Chapter 15 —— Basel I、II and Solvency II
• • • 15.1 The Reasons for Regulating Banks
    • 15.2 1988前的银行监管
    • 15.3 1988 BIS Accord
    • • 15.3.1 The cooke Ratio
      • 15.3.2 Capital Requirement
    • 15.4 G30 Policy Recommendations
    • 15.5 NETTING 净头寸计算
    • 15.6 1996 Amendment 修正案
    • • 15.6.1 Back-Testing
    • 15.7 Basel II
    • 15.8 Credit Risk Capital Uner Basel II
    • • 15.8.1 SA 方法，标准法
      • 15.8.2 Adjustments for collateral
      • 15.8.3 IRB Approach
      • 15.8.4 Exposure at Default
      • 15.8.5 公司，主权以及银行Exposures
      • 15.8.6 Retail Exposures
      • 15.8.7 保证与信用衍生品
    • 15.9 Operrational Risk Capital Under Basel II
    • 15.10 Pillar 2 ： Supervisory Review
    • 15.11 Pillar 3 Market Discipline
    • 15.12 Solvency II

Risk Management and Financial Institution Chapter 15 —— Basel I、II and Solvency II

15.1 The Reasons for Regulating Banks

• A major concern of governments is what is known as systemic risk
• Systemic risk is the risk that a default by one financial institution will create a “ripple effect” that leads to defaults by other financial institutions and threatens the stability of the financial system

15.2 1988前的银行监管

15.3 1988 BIS Accord

• first attempt to set international risk based standards
• too simple and somewhat arbitraty

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