The fundamental review of the trading book: the evolution of the directive and the impact on an Italian bank’s portfolio

Minniti, Rebecca (A.A. 2022/2023) The fundamental review of the trading book: the evolution of the directive and the impact on an Italian bank’s portfolio. Tesi di Laurea in Risk management, Luiss Guido Carli, relatore Daniele Penza, pp. 74. [Master's Degree Thesis]

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Abstract/Index

The history of basel treaty. From Basel I to Basel III. The new approach under Basel III. The liquidity framework. Limits of the past mandate and the road to Basel IV. Definition of market risk and how to deal with it. Market risk. VAR and initial measures for computing the Market risk exposure. FRTB evolution. The capital requirements comparison between different approaches. The implication of the FRTB. Portfolio, dataset and methodology. Internal model approach capital charges.

References

Bibliografia: pp. 73-74.

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: Morelli, Giacomo
Academic Year: 2022/2023
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 06 Dec 2023 15:51
Last Modified: 06 Dec 2023 15:51
URI: https://tesi.luiss.it/id/eprint/37250

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