| ISBN： | 9781137594419 : |
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| 编目源： | CASHL CASHL |
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| 语种代码： | eng |
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| 个人名称： | Tian, Weidong |
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| 题名： | Commercial Banking Risk Management : Regulation in the Wake of the Financial Crisis / Weidong Tian, editor. |
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| 出版发行项： | New York : Palgrave Macmillan c2017 |
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| 载体形态： | xxvii, 429 pages : illustrations ; 22 cm. |
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| 格式化内容附注： | Preface; Acknowledgments; Contents; List of Figures; List of Tables; Contributors; Regulatory Capital and Market Risk; Regulatory Capital Requirement in Basel III; Introduction; Basel II and Major Changes from Basel II to Basel III; Capital in Basel III; Tier 1 Capital; Common Equity Tier 1 Capital; Additional Tier 1 Capital; Tier 2 Capital; The Role of Capital Buffers and Capital Adequacy Requirement; Risk-Weighted Assets; Minimal Capital Requirements; Leverage Ratios; Regulatory Capital Charge; Banking Book Exposure; Trading Book Exposure; Capital Conservation Buffer in Basel III |
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| 格式化内容附注： | Calculation of Capital Conservation BufferFramework of the Capital Conservation Buffer; Countercyclical Capital Buffer in Basel III; Implementation of the Countercyclical Capital Buffer; Implementation along with the Capital Conservation Buffer; G-SIB Surcharge; Assessing the Systemic Importance of G-SIBs; A Sample of Banks; How to Identify G-SIBs; The Loss Absorbency for G-SIBs; Total Loss Absorbing Capacity in Financial Stability Board (FSB); The Calibration of Minimum TLAC; TLAC Instrument's Eligibility Criteria; A Brief History of the Capital Requirement Framework; Conclusions; Notes |
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| 格式化内容附注： | The Minimum Capital Requirements for Market RiskA Revised Internal Models Approach (IMA); A Revised Standardized Approach (SA); A Shift from Value-at-Risk to an Expected Shortfall Measure of Risk Under Stress; Incorporation of the Risk of Market Illiquidity; A Revised Boundary Between the Trading Book and Banking Book; Conclusion; Notes; References; Counterparty Credit Risk; IMM Approach for Managing Counterparty Credit Risk; Introduction; Motivations of Developing IMM; Monte Carlo Simulation Framework; Market Factor Simulation; Trade Pricing at Future Scenarios; Exposure Profile Generation |
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| 格式化内容附注： | Implementation of the ComponentsCalculation of Effective EPE; Backtesting Methodology; A Case Study; Discussion; Conclusions; Note; References; XVA in the Wake of the Financial Crisis; Introduction; Credit Valuation Adjustment; Brief Interlude: Credit Support Annexes (CSA); CVA as Value; Example: Interest Rate Swap and Cross-currency Swap; Managing CVA Risk; CVA (Aka Counterparty Management (CPM)) Desks; Close Out Risk; Wrong-Way Risk (WWR) Mathematically; Wrong-Way Risk from a Trader's Perspective; Wrong-Way Risk Can Generate Large Losses Even If There Is No Default |
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