巴 I Amendments修正案
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巴 I Amendments思维导图模板大纲
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)
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)
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
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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