巴 I Amendments思维导图
巴 I Amendments修正案
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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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