Market risk charge of the trading book: a comparison of the Basel II and Basel III

Detalhes bibliográficos
Autor(a) principal: Brito, Flávia manique
Data de Publicação: 2015
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/15343
Resumo: This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.
id RCAP_da3168c36353d231ab51a241a8351e35
oai_identifier_str oai:run.unl.pt:10362/15343
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Market risk charge of the trading book: a comparison of the Basel II and Basel IIIMarket riskBaselStandardized modelInternal modelThis paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.UNL - NSBEFerreira, MiguelRUNBrito, Flávia manique2015-08-25T09:40:03Z2015-012015-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/15343TID:201476592enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:51:15Zoai:run.unl.pt:10362/15343Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:22:27.760687Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Market risk charge of the trading book: a comparison of the Basel II and Basel III
title Market risk charge of the trading book: a comparison of the Basel II and Basel III
spellingShingle Market risk charge of the trading book: a comparison of the Basel II and Basel III
Brito, Flávia manique
Market risk
Basel
Standardized model
Internal model
title_short Market risk charge of the trading book: a comparison of the Basel II and Basel III
title_full Market risk charge of the trading book: a comparison of the Basel II and Basel III
title_fullStr Market risk charge of the trading book: a comparison of the Basel II and Basel III
title_full_unstemmed Market risk charge of the trading book: a comparison of the Basel II and Basel III
title_sort Market risk charge of the trading book: a comparison of the Basel II and Basel III
author Brito, Flávia manique
author_facet Brito, Flávia manique
author_role author
dc.contributor.none.fl_str_mv Ferreira, Miguel
RUN
dc.contributor.author.fl_str_mv Brito, Flávia manique
dc.subject.por.fl_str_mv Market risk
Basel
Standardized model
Internal model
topic Market risk
Basel
Standardized model
Internal model
description This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.
publishDate 2015
dc.date.none.fl_str_mv 2015-08-25T09:40:03Z
2015-01
2015-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/15343
TID:201476592
url http://hdl.handle.net/10362/15343
identifier_str_mv TID:201476592
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799137863854456832

Registros relacionados