Total CCR capital charges under Basel IV: impacts of the new methods for banks

Stella, Angelica (A.A. 2021/2022) Total CCR capital charges under Basel IV: impacts of the new methods for banks. Tesi di Laurea in Risk management, Luiss Guido Carli, relatore Daniele Penza, pp. 101. [Master's Degree Thesis]

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Risks for banks. Derivatives and their links with banks. CCR and market risk. CVA. DVA and FVA. CVA risk. Path towards Basel IV. Counterparty default risk capital charges under Basel accords. Basel III for CVA risk capital charges. CVA risk framework: 2017 vs 2020 version. Final version of Basel IV. Approaches set out by regulators. EAD under CEM. EAD under SA-CCR. IRB approach. BA-CVA. SA-CVA. Impacts of the new methods on total CCR capital charges. Sample calculations. Calculation results. Analysis of the results. Overall impacts. Challenges and drawbacks of the new methods. Recommendations for implementation.


Bibliografia: pp. 86-91.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77)
Chair: Risk management
Thesis Supervisor: Penza, Daniele
Thesis Co-Supervisor: Merola, Federico
Academic Year: 2021/2022
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 24 Nov 2022 08:18
Last Modified: 24 Nov 2022 08:18


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