Basel II.5思维导图
Basel II.5介绍
树图思维导图提供 Basel II.5 在线思维导图免费制作，点击“编辑”按钮，可对 Basel II.5 进行在线思维导图编辑，本思维导图属于思维导图模板主题，文件编号是：8804a5004473b15767f472d21ae5e092
思维导图大纲
Basel II.5思维导图模板大纲
In the 2008 crisis,对market risk amendment were inadequate for the trading-book,it implemented updated rules by end of2011
stressed VaR
two VaR combined
usual VaR
based on the previous one to four years of maeket movements(10天99%)
stressed VaR
99%VaR下the most recent 7 years that was most stressful for its current portfolio,rather than usual VaR
Incremental risk charge(IRC)
specific risk charge was intended to capture default and reaction to regulatory arbitrage opportunities between the banking and trading book——巴塞尔协议下叫incremental default risk charge（IDRC）——widened to IRC
增补时按照credit risk增补，既99.9%一年下增补
later,the巴协had realized that most losses with credit risk due to changes in rating,credit spresds,or liquidity,not defaults
comprehensive risk capital(CRC)
an assumption in Basel II is that the correlation parameter is constant across obligors and over time. The assumption is wrong for instruments in the correlation book (securitizations/re-securitizations/relating derivatives).
Such correlation-sensitive instruments put assets in SPV and create Tranches differ in seniority. Correlations changes have large effects on the tranches. The Basel Committee addressed the issue by replacing the IRC and specific risk charge with comprehensive risk (CR) charge for the correlation book. Comprehensive risk charge can use in either standardized approach or internal model approach.
前提：巴II.5下要求计算两个VaR思维导图模板大纲
TWO VaR combined:market risk=max(VaRt-1,mc*VaRavg)+max(sVaRt-1,mc*sVaRavg)(3≤mc≤4，avg是10天99%下过去60day的均值)思维导图模板大纲
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