The lecture Revisions to the Basel II Market Risk Framework by Edu Pristine is from the course Archiv - Operational Risk. It contains the following chapters:
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... risk and general market risk. Explain the relationship regulators require between market risk factors used for pricing versus those used for calculating Value-at-Risk and the risks captured by the Value-at-Risk ...
... Revisions reflect an update to the practice of accounting for trading ...
... Capital charge for general market risk is a 10-day VaR at 99% confidence level as well as stressed VaR (SVaR) ...
... In commodity price risk, a single factor such as the variation in convenience yield should be considered. A VaR model should capture the risk factors used ...
... We calculate the 10- day SVaR with 99% confidence level and compare it with the values from ...
... plus factor is the ex-post performance of the model and ranges from 0 to 1 based on the outcome of back ...
... for the incremental risk capital (IRC) charge is used in the context of internal models. Qualitative disclosures under the IMA should also ...
... determine a position's current illiquidity status. The factors that affect the valuation adjustments include: - Market concentration - Average volatility of bid-ask spreads ...