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    International regulation of banking : capital and risk requirements / Simon Gleeson.

    • Title:International regulation of banking : capital and risk requirements / Simon Gleeson.
    •    
    • Author/Creator:Gleeson, Simon.
    • Published/Created:Oxford, United Kingdom : Oxford University Press, 2012.
    • Holdings

       
    • 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.
    • Subject(s):Basel II (2004 June 26)
    • Edition:Second edition.
    • Description:xxvii, 475 p. : ill. ; 26 cm
    • Notes:Includes bibliographical references and index.
    • ISBN:9780199643981 (cloth : alk. paper)
      0199643989 (cloth : alk. paper)
    • 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.
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