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International regulation of banking : capital and risk requirements / Simon Gleeson.
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Title:International regulation of banking : capital and risk requirements / Simon Gleeson.
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Author/Creator:Gleeson, Simon.
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Published/Created:Oxford, United Kingdom : Oxford University Press, 2012.
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Holdings
Holdings Record Display
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Location:LAW LIBRARY (level 3)Where is this?
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Call Number: K1066 .G58 2012
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Number of Items:1
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Status:c.1 On loan - Due on 04-15-2024
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Location:LAW LIBRARY (level 3)Where is this?
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Library of Congress Subjects:Banks and banking, International--Law and legislation.
Asset-liability management--Law and legislation.
Risk management--Law and legislation.
Banks and banking, International--Management.
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Subject(s):Basel II (2004 June 26)
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Edition:Second edition.
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Description:xxvii, 475 p. : ill. ; 26 cm
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Notes:Includes bibliographical references and index.
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ISBN:9780199643981 (cloth : alk. paper)
0199643989 (cloth : alk. paper)
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Contents:Machine generated contents note: I. ELEMENTS OF BANK FINANCIAL SUPERVISION
1. Introduction to Banks and Banking
A. Banks Considered as Risk Takers
B. Prototypical Bank
Business summary
Risk analysis
Credit risk
Market and asset liquidity risks
Funding liquidity risk
Interest rate risk
Operational risk
Risk consolidation
Economic capital
2. Why Are Banks Supervised?
A. Basis of Bank Supervision
-the Basel Principles
B. Capital Regulation
C. Constraints on Bank Capital Regulation
D. Quantum of Bank Capital Requirements
E. Does the Banking Crisis Prove that Risk Capital-based Regulation Failed?
Quantitative risk modelling and the crash
F. Market Crisis and Regulation
G. Protecting the Public from the Consequences of Bank Failure
Bank resolution regimes
3. Basel and International Bank Regulation
A. Basel Committee and the Basel Accord
B. Addressing Failures of Multinational Banks
C. International Institutional Co-operation in Bank Regulation
4. Basel III
A. Policy Responses to the Crisis
B. Basel 2.5
Trading book reform
Stress testing
Pay and bonuses
C. Basel III
Strengthening the global capital framework
Enhancing risk coverage
Leverage ratio
Countercyclical buffers
Systematic interconncctedness
Systemic risk
Introducing a global liquidity standard
Monitoring tools
Addressing reliance on external credit ratings and minimizing cliff effects
Enhanced counterparty credit risk management requirements
Stress testing
Implementation and transitional arrangements
5. Bank Capital Calculation
-Basel II
A. Basic Bank Capital Calculation
B. What is Capital?
C. Bank Capital Hierarchy
D. Capital Monitoring
E. `Gearing' Rules
F. Components of Capital
G. Tier 1
Issuance
Redeemability
Permanence
Power to defer payments
Loss absorption
Subordination
Moral hazard
Associate transactions
Reserves
Share premium account
Externally verified profits
Innovative tier 1
Convertible and exchangeable instruments
Deductions from tier 1
H. Tier 2
Upper tier 2
Lower tier 2
Upper tier 2 requirements
Lower tier 2 requirements
Provisioning and expected loss
I. Deductions
Qualifying holdings (holdings in non-financial undertakings)
Material holdings (holdings in financial undertakings)
Connected lending of a capital nature
Expected losses and other negative amounts
Securitization positions
J. Tier 3
Upper tier 3
Lower tier 3
Deductions from tier 3
K. Capital Arising from Revaluation of Assets
L. Deductions for Investment Firms
M. Bank Capital Resources
-Summary Table
6. Bank Capital Calculation
-Basel III
A. Calculation of Bank Capital under Basel III
Core tier 1 capital
Tier 2 capital
Bank holdings in banking, financial, and insurance entities
Basel III and capital requirements
II. COMMERCIAL BANKING
7. Credit Risk
A. Background
B. Risk Weighting of Assets
C. Basel Approaches
D. Valuation of Exposures
E. Mark to Market
Financial assets at fair value through profit or loss
Available-for-sale financial assets
Loans and receivables
Held-to-maturity investments other than loans and receivables
8. Standardized Approach
A. Classification of Exposures, Credit Conversion Factors, and Credit Risk Mitigation
B. Ratings and Rating Agencies
C. Exposures to Sovereigns
Regional governments or local authorities
Public sector entities
Multilateral Development Banks (MDBs)
D. Exposures to Banks and Financial Institutions
E. Exposures to Corporates
F. Exposures to Retail Customers
Retail mortgage lending
G. Commercial Mortgage Exposures
H. Overdue Undefaulted Exposures
I. High-Risk Exposures
J. Covered Bonds
K. Securitization Exposures
What is a securitization?
Tranching
Performance dependent payment
Subotdination
Securitization and the specialized lending regime
Weighting of securitization positions
-standardized approach
Asset backed commercial paper
L. Short-Term Claims on Financial Institutions and Corporates
M. Fund Exposures
N. Other Assets
O. Off-Balance Sheet Items
9. Model Based Approaches to Risk Weighting
A. Introduction to the Basel Risk Model
B. VaR and the Basel Framework
C. Basic Basel Formula
Maturity adjustment
Default tail
Consequences
D. Putting It All Together
E. Retail Exposures Formula
F. Translating between Capital Requirements and Risk Weightings
G. Model Types
H. Illustrative Risk Weights
I. Modelling in Practice
J. Variations in Credit Risk Weightings between Firms
K. Inputs and Outputs
`use' test
meaning of default
Validation of PD estimates
Loss given default
Exposure at default
L. Becoming an IRB Firm
Eligibility for the IRB approach
Corporate governance
10. Internal Ratings Based Approach
A. Corporate, Sovereign, and Bank Exposures
PD
LGD
Downturn LGDs
B. Exposure at Default
Netting and EAD
Commitments
-when should a CF/EAD be applied?
Maturity
Basel III and Financial Sector Exposures under IRB
-the Asset Value Correlation multiplier
Highly leveraged counterparties
Basel III, LGD, and EAD
C. Specialized Lending
D. Retail and Mortgage Exposures
Retail exposures
Specialized retail exposures
Default in the retail portfolio
E. Eligible Purchased Receivables
F. Equity Exposures
simple risk weight approach for equity
PD/LGD approach for equity
internal models approach for equity
11. Netting, Collateral, and Credit Risk Mitigation
A. Introduction
B. Netting
On balance sheet netting
Off balance sheet netting and master netting agreements
C. Collateral
simple approach
comprehensive approach
Haircuts
Secured lending transactions
Government repo market concession
D. Unfunded Credit Protection
Effect of unfunded credit protection
Multiple default credit derivatives
III. INVESTMENT BANKING
12. Trading Book
A. Introduction
B. Trading Book Eligibility
Trading book eligibility under Basel 2.5
C. Trading and Market Exposures
Position risk requirement
Interest rate PRR
Position netting
Notional legs
Specific risk
General market risk
D. Equity PRR and Basic Interest Rate
PRR for Equity Derivatives
Standard equity method
Standard equity model
-specific risk
Standard equity method
-general market risk
Simplified equity interest rate PRR
E. Commodity PRR
simplified approach
maturity ladder approach
extended maturity ladder approach
F. Foreign Currency PRR
G. Option PRR
option standard method
Options on funds
H. Annex
-A Guide to Option Terminology
13. Securities Underwriting
14. Trading Book Models
A. `CAD 1' Models
B. VaR Models
C. Multiplication Factor
D. Basel 2.5
Stressed VaR
incremental risk charge (IRC)
Securitization positions in the trading book
Correlation trading
15. Credit Derivatives
A. Introduction
B. Notional Positions
C. Recognition of Risk Reduction
D. Nth-to-default
16. Counterparty Risk
A. Introduction
B. Credit Derivatives
C. Collateral in the Trading Book
D. Double Default in the Trading Book
E. Rules Common to Banking and Trading Books
Unsettled transactions
Free deliveries
F. Basel III and CCR
Counterparty credit risk
General wrong-way risk
Credit Value Adjustment
-the `bond equivalent approach'
Collateralized counterparties and margin period of risk
Downgrade triggers
Collateral management
Securitization and resecuritization collateral
17. Counterparty Credit Risk for Derivatives, Securities Financing, and Long Settlement Exposures
A. Introduction
B. Calculating Exposures
C. Mark to Market Method
PFE calculation
Netting within the mark to market method
D. Standardized Method
E. Credit Risk Exposure Calculation
F. CCR Internal Model Method
Contractual netting within the CCR regime
CCR models and securities financing transactions
18. Securitization and Repackaging
A. Introduction
B. What is a Securitization?
C. True Sale and Derecognition of Assets
`Derecognition' for synthetic securitizations
Implicit support, or `de-derecognition'
D. Risk Weighting of Securitization Exposures
E. Weighting Holdings of Securitization Positions
-the Standardized Approach
Liquidity facilities
F. IRB Approach
ratings based approach
supervisory formula approach
ABCP IAA
G. Revolving Credit Securitizations
Treatment of the originator's share
H. Securitization and Basel III
Resecuritization
Self-guarantees
Standardized approach resecuritization risk weights
Credit analysis
IV. OTHER RISKS
19. Operational Risk Requirements
A. Operational Risk
B. Basic Indicator Approach
C. Standard and Advanced Measurement Approaches
-Criteria for Use
D. Standardized Approach
-The Charge
E. Advanced Measurement Approach
-The Charge
F. Corporate Governance and Operational Risk
Contents note continued: 20. Concentration and Large Exposures
A. Large Exposures Regime
B. Exposure
C. Counterparty
Connected counterparties
Total exposure
D. Exposure Limits
Parental guarantees
Collateralization
Advanced IRB firms
Treasury concession
Intra-group securities financing transactions
National integrated groups
UK Integrated Group
V. BASEL III REQUIREMENTS
21. Liquidity Requirements
A. Liquidity Supervision
B. Qualitative Supervision of Liquidity
C. Quantitative Supervision of Liquidity
-pre Basel III
simplified ILAs liquid assets buffer
Contents of the liquidity pool
Cross-border and intra-group management of liquidity
D. Liquidity under Basel III
two requirements
Liquidity Coverage Ratio
net stable funding ratio
22. Leverage Ratio
A. Leverage Ratio
B. Transitional Arrangements
23. Basel III, Derivatives, Clearing, and Exposures to CCPs
A. Exposures to Central Counterparties
B. Summary of the Proposed Reforms
proposed CCP framework
Default fund exposures
VI. BANK GROUP SUPERVISION
24. Group Supervision
A. Introduction
Solo supervision
Consolidated supervision
Conglomerate supervision
B. Consolidated Supervision
C. Scope of Consolidation
D. Minority Interests
E. Solo Consolidation
F. Consolidated Capital
G. Consolidated Capital Resources Requirements
Operational risk
Advanced IRB approaches
Large exposures
25. Financial Conglomerates
A. Issues with Conglomerates
Double or multiple gearing
Debt downstreamed as equity
Unregulated intermediate holding companies
Unregulated entities engaged in financial business
Participations and minority interests in regulated entities
B. Banks in Non-Financial Groups
C. Mixed Activity Groups
D. Methods of Regulating Financial Conglomerates
Method 1
Method 2
Method 3
Method 4
E. Consolidating Unconnected Entities
F. Groups Headquartered Outside the EU
26. Cross-Border Supervision of Bank Groups
A. International Group Supervision
B. EU Group Supervision
27. Pillar Three
-Disclosure Requirements
A. Introduction
B. Scope of the Pillar Three Regime
C. Basic Requirements
Basel requirements
EU requirements
D. Capital Structure
Basel requirements
EU requirements
E. Capital Adequacy
Basel requirements
EU requirements
F. Credit Risk: General Disclosures for All Banks
Basel requirements
EU requirements
G. Credit Risk: Disclosure for Portfolio Subject to the Standardized Approach and Supervisory Risk Weights in the IRB Approaches
Basel requirements
EU requirements
H. Credit Risk: Disclosures for Portfolio Subject to IRB Approaches
Basel requirements
EU requirements
I. Credit Risk Mitigation: Disclosures for Standardized and IRB Approaches
Basel requirements
EU requirements
J. General Disclosure for Exposures Related to Counterparty Credit Risk
Basel requirements
EU requirements
K. Securitization: Disclosure for Standardized and IRB Approaches
Basel requirements
EU requirements
L. Market Risk: Disclosures for Banks using the Standardized Approach
Basel requirements
EU requirements
M. Market Risk: Disclosures for Banks using the Internal Models Approach (IMA) for Trading Portfolios
Basel requirements
EU requirements
N. Operational Risk
Basel requirements
EU requirements
O. Equities: Disclosures for Banking Book Positions
Basel requirements
EU requirements
P. Interest Rate Risk in the Banking Book
Basel requirements
EU requirements
Q. Remuneration
Qualitative disclosures
Quantitative disclosures.