Formulas Risk Management
Autor: goude2017 • October 4, 2017 • 742 Words (3 Pages) • 871 Views
...
[pic 80]
Capital required
[pic 81]
Corporate, Sovereign, and Bank exposures
[pic 82]
Capital required
EAD*LDG*(WCDR-PD) * MA
[pic 83]
b = [0.11852 – 0.05478 * ln(PD)] 2
M: Maturity of exposure
RWA = 12.5 * EAD * LGD * (WCDR – PD) * MA
Retail exposures
Capital required = EAD * LGD * (WCDR – PD)
Residential mortgages: ρ = 0.15
Revolving retail exposures: ρ = 0.04
Other retail exposures: ρ = 0.03+0.13e-35*PD
RWA = 12.5 * EAD * LGD * (WCDR – PD)
Adjustments for collateral
Simple approach:
Risk weight*collateral+risk weight*(exposure-collateral)
Comprehensive approach:
New exposure = (1 + adjustment in %)*exposure – (1+adjustement in %)*collateral
Basel I Add-on factors as a percentage of principal for derivatives
Maturity
1-5
>5
Interest rate
0.0
0.5
1.5
FX and gold
1.0
5.0
7.5
Equity
6.0
8.0
10.0
Precious metals
7.0
7.0
8.0
Other commodities
10.0
12.0
15.0
Basel I risk weights on-balance-sheet items
Risk weight
Asset category
0
Cash, gold bullion, claims on OECD governments such as Treasury bonds or insured residential mortgages
20
Claims on OECD banks and OECD public sector entities such as securities issued by U.S. government agencies or claims on municipalities
50
Uninsured residential mortgage loans
100
All other claims such as corporate bonds and less-developed county debt, claims on non-OECD banks
Risk weights off-balance-sheet items
Corporations
50
Other asset categories
See above
Risk weights as a percent of principal for exposures to countries, banks, and corporations under Basel II’s standardized approach
Country
Banks
Corporations
AAA to AA-
0
20
20
A+ to A-
20
50
50
BBB+ to BBB-
50
50
100
BB+ to BB-
100
100
100
B+ to B-
100
100
150
Below B-
150
150
150
Unrated
100
50
100
Chapter 13:Basel 2.5, Basel III, Dodd-Frank
Stressed VaR
Total Capital Charge Basel 2.5
Max (VaRt-1, mc x VaRavg) + max(sVaRt-1, ms x sVaRavg)
mc/ms: multiplicate factors (>3)
Chapter 14: VaR: Historic Simulation approach
[pic 84]
Accuracy
[pic 85]
n: # of observations
q: q-percentile
f(x):
Weighting
[pic 86]
Volatility updating
[pic 87]
Extreme Value Theory
...