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巴 I Amendments思维导图

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U131211398 浏览量:472023-04-09 00:50:22
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巴 I Amendments修正案

树图思维导图提供 巴 I Amendments 在线思维导图免费制作,点击“编辑”按钮,可对 巴 I Amendments  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:0d77cdbd29df3d57efb69126bcc4eab9

思维导图大纲

巴 I Amendments思维导图模板大纲

credit risk-adjustment for derivatives

netting is clause in ISDA master agreement,stating in the event of a default,all transactions are considered as a single transaction,既one defaults,it must default on all transactions

without netting,the exposure is payoff from a portfolio of options

with netting:the exposure is payoff from an option on a portfolio

NRR=MAX(Vi求和,0)/Vi求和max(Vi,0){当前敞口的netting/without netting的当前敞口

CEA=max(当前敞口的netting,0)+(0.4+0.6*NRR)*未来敞口(对未来敞口做系数调整)

market risk

trading book

MR(general market risk):系统性风险,影响整个市场

SA:忽视ρ,直接sum,无分散性

the multiplier was rather than 3 and capital for SR could not be less than half of capital calculated using the SA

internal model-based approach(内模法)

MR=max(VaRt-1,mc*VaRavg,10天99%)

SR(special risk:idiosyncratic change,自身的变化,和公司相关)

which was required for fixed income,equity instruments,and derivatives,could be determined using either the SA or the bank's internal models

banking book(这个是credit risk,99.9%,一年,held to maturity/long)

captial requirements

Tier3:composed mainly of unsecured subordinated debt with an original maturity of at least 2 years,that could be used to meet part of market risk capital requiremengt

others

back-testing

one day ,99%VaR over the pervious 250 days

≤4,mc=3,5≤X≤9,mc=3.85,≥10,ma=4,相当于惩罚因子

1995-1996(修订版)思维导图模板大纲

corporate bonds are exposed to interest rate risk,captured by MR,and credit risk,captured by the SR思维导图模板大纲

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