Rizične mjere u upravljanju financijskim rizicima. Denis Lukić, Ph.D., FRM Zagreb
|
|
|
- Arline Morris
- 6 years ago
- Views:
Transcription
1 Rizične mjere u upravljanju financijskim rizicima Denis Lukić, Ph.D., FRM Zagreb
2 Pojam rizika Latin (resicum, risicum, riscus): (eng. Cliff), okomita, strmovita stijena Greek (rhizikon, rhiza): (eng. Root, stone, cut of the firm land), difficulty to avoid in the sea Italian (risico, risco, rischio) French (risque) English (risk) Hrvatski leksikon mogućnost pogibelji, opasnosti; izloženost nezgodi, nesreći, propasti, gubitku Moderno značenje ovisno o kontekstu (potencijalni gubitak)
3 Rizici u kompanijama Poslovni Poslovne odluke Razvoj proizvoda Marketinška strategija Organizacijska struktura Financijski Kreditni Tržišni Likvidnosni Operativni
4 Povijest upravljanja financijskim rizicima u bankarstvu Predbaselsko razdoblje Baselski sporazumi Baselski sporazum I (Basel Accord I) Baselsi sporazum II (Basel Accord II) Baselski Sporazum III ( Basel Accord III)
5 Predbaselsko razdoblje Nejednaki uvjeti banaka na međunarodnom tržištu bankarskih proizvoda Kapitalni zahtjevi neovisni o riziku Valutni rizik (fiksni valutni režim ukinut 1971.)
6 Baselski sporazum I (The Basel I Accord) Baselski odbor guverneri centralnih banaka grupe G srpanj Neobvezujući Rok za implementaciju prosinac Implementiran u preko 100 zemalja
7 Baselski sporazum I - nastavak Fokus na kreditnim rizicima Postavljeni minimalni kapitalni standardi za banke (ovisni o riziku) Cooker ratio=kapital/rizično ponderirana imovina minimalno 8% Kapital=temeljni kapital+dodatni (supplementary) kapital Rizično ponderirana imovina Weights 0% Asset Type Cash held, Claims on OECD central governments, Claims on central governments in national currency 20% Cash to be received, Claims on OECD banks and regulated securities firms, Claims on non-oecd banks below 1 year, Claims on multilateral development banks 50% Residential mortgage loans 100% Claims on the private sector (corporate debt, equity, etc.), Claims on non-oecd banks above 1 year, Real estate, Plant and equipment
8 Baselski sporazum I - nastavak EU (CAD - Capital Adequacy Directive) USA (FDICIA Federal Deposit Insurance Corporation Improvement Act) Limiti na velika kreditna izlaganja Pozicije veće od 10% kapitala se smatraju rizičnima i o njima se mora izvještavati regulator Pozicije iznad 25% kapitala nisu dopuštene
9 Rezultati Baselskog sporazuma I Općenito pozitivna ocjena Uvećana kapitalizacija banaka Postignuta stabilnost Nedostaci Fokusiran samo na kreditne rizike Mogućnost regulatorne (kapitalne) arbitraže Vrlo jednostavna i rigidna metoda ponderiranja imovine koja nije uzimala u obzir kreditnu sposobnost klijenata
10 Baselski sporazum II (The Basel Accord II) Lipanj Implementacija u (2007.) godini Temelji se na tri stupa Pillar 1: Minimum capital requirements Pillar 2: Supervisory review Pillar 3: Market discipline Credit risk Market risk Operational risk 1. Standardized approach 1. Standardized approach 1. Basic indicator approach 2. Foundation internal ratings based (IRB) 3. Advanced internal ratings based (IRB) 2. Internal models approach (IMA) 2. Standardized approach 3. Advanced measurement approach (AMA)
11 Kapitalni zahtjevi prema Baselu II Računaju se kao funkcija rizične mjere VaR (value at risk) 99%VaR se definira kao 99-ti percentil distribucije gubitka Distribucija gubitka 0,7 0,6 0,5 0,4 0,3 0,2 0, ,5 1 1,5 2 2,5 3 3,5 4 4,5 5 Kapitalni zahtjevi=funkcija(pozicija,var-a)
12 Kreditni rizici standardizirani pristup Proširenje Basela I (uzima se u obzir kreditni rang klijenta) Corporate Credit Rating AAA/AA- A+/A- BBB+/BB- Below BB- Unrated Weight 20% 50% 100% 150% 100% Slično i za ostale kategorije
13 Kreditni rizici - IRB Distribucija gubitka dana (temelji se na Vasicekovoj distribuciji) Kapitalni zahtjev=f(pd, LGD, EAD, maturity ) Vlastita procjena parametara Osnovni IRB Napredni IRB PD vlastita procjena Ostali parametri zadani Svi parametri se procjenjuju
14 Tržišni rizici Tržišni rizici - klasifikacija Valutni rizik Rizik kamatnih stopa Equity risk Robni rizik
15 Tržišni rizici Standardizirani pristup (tablični pristup) Kapitalni zahtjev=k*f(var) IMA pristup Parametar k ovisi o broju prekoračenja koji se odnose na 1- dnevni VaR distribucije prinosa. Zone Number of Exceptions k Green ,4 6 3,5 Yellow 7 3,65 8 3,75 9 3,85 Red >=10 4
16 Tržišni rizici izračun VaR-a Vlastita procjena distribucije (normalna, t-distribucija, ) VaR-Izračun Povijesni model Analitički Monte Carlo simulacije Procjena parametara (volatilnost; GARCH-modeli)
17 Standardizirani pristup AMA pristup Operativni rizici Vlastita procjena distribucije (log-normalna, Pareto, ) Kapitalni zahtjev=99,9%var distribucije gubitka Distribucija gubitka-konvolucija distribucije učestalosti i distribucije iznosa gubitka Frequency distribution (Poisson) Severity distribution (Lognormal ) Loss distribution
18 Basel Accord III Donesen Implementacija u fazama do Stroži uvjeti na regulatorni kapital Sistemski značajne banke Likvidnosne mjere LCR = Liquidity Coverage Ratio NSFR = Net Stable Funding Ratio Leverage Ratio = Omjer kapitala i imovine>=3%
19 Rizične mjere Markovitz portfolio theory (rizik = standardna devijacija) VaR-value at risk (rizičnost vrijednosti) definiran nivo značajnosti (99%, 95% ) vremenski horizont Distribucija gubitka (99 percentil) Distribucija prinosa (- prvi percentil) Je li VaR dobra mjera? Koja su to dobra svojstva koja bi svaka rizična mjera trebala posjedovati?
20 Koherentne rizične mjere Artzner (1999.)-aksiomatski pristup rizičnim mjerama M prostor slučajnih varijabli koje predstavljaju gubitke portfelja u nekom periodu T. Rizična mjera je funkcija r: M R Rizična mjera je koherentna ako su zadovoljeni sljedeći aksiomi: Translation invariance: r(l+a)=r(l)-a Subaddivity: r(l1+l2)<=r(l1)+r(l2) Positive homogenity: r(al)=ar(l) Monotonicity: L1<L2 => r(l1)>r(l2)
21 VaR (not subadditive) Primjer: X=A1+B Y=A2+B VaR nije koherentna A1, A2 neovisne standardne normalne varijable B=0 sa vjerojatnošću 0,991 B=-10 sa vjerojatnošću 0,009 99%VaR(X+Y)=9,8 99%VaR(X)=3,1 99%VaR(Y)=3,1
22 VaR - primjer n=100 korporativnih obveznica nominalne vrijednosti 100 Distribucija gubitka Li=100 s vjerojatnošću 2% i Li=-5 s vjerojatnošću 2% Portfelj A L1 nominalne vrijednosti Portfelj B 100 različitih obveznica, svaka nominalne vrijednosti %VaR(A)=-500 (dobit!) 95%VaR(B)=25
23 Neke koherentne mjere Expected Tail Loss ETL=E(X X>VaR) ETL je koherentna rizična mjera Spektralne rizične mjere Teorem VaR je koherentan na prostoru linearnih portfelja modeliranih eliptičkim distribucijama
24 Literatura Value at Risk, Phillipe Jorion Value-at-Risk Models, Carol Alexander Quantitative Risk Management, Alexander J. McNeil -Baselska web stranica Capital requirements regulation and directive CRR/CRD IV Directive 2013/36/EU Regulation (EU) No 575/ FRM exam certificate
PUBLISHING DATA AND INFORMATION OF THE. EXPOBANK JSC Belgrade
EXECUTIVE BOARD No: 237/2017 PUBLISHING DATA AND INFORMATION OF THE EXPOBANK JSC Belgrade As at 30 June 2017 Expobank JSC Belgrade (hereinafter: Bank) in accordance with the Decision on publishing data
Value at Risk Risk Management in Practice. Nikolett Gyori (Morgan Stanley, Internal Audit) September 26, 2017
Value at Risk Risk Management in Practice Nikolett Gyori (Morgan Stanley, Internal Audit) September 26, 2017 Overview Value at Risk: the Wake of the Beast Stop-loss Limits Value at Risk: What is VaR? Value
2016 RISK AND PILLAR III REPORT SECOND UPDATE AS OF JUNE 30, 2017
2016 RISK AND PILLAR III REPORT SECOND UPDATE AS OF JUNE 30, 2017 NATIXIS - 2016 Risk & Pillar III Report second update as of June 30, 2017 2 TABLE OF CONTENTS Update by chapter of the Risk and Pillar
HSBC Bank Canada Capital and Risk Management Pillar 3 Supplemental Disclosures as at June 30, The World s Local Bank
2010 HSBC Bank Canada Capital and Risk Management Pillar 3 Supplemental Disclosures as at The World s Local Bank Index & Notes to Users Index Page Basel II Regulatory Capital 2 Basel II Regulatory Risk-
HSBC Bank Canada Capital and Risk Management Pillar 3 Supplemental Disclosures as at September 30, The World s Local Bank
2010 HSBC Bank Canada Capital and Risk Management Pillar 3 Supplemental Disclosures as at The World s Local Bank Index & Notes to Users Index Page Basel II Regulatory Capital 2 Basel II Regulatory Risk-
The Role of Bank Supervisory Authorities under the New Basel Accord
The Role of Bank Supervisory Authorities under the New Basel Accord Challenges for Asia Hua Hin, 9 July 2003 Stefan Hohl, BIS Representative Office for Asia and the Pacific, Hongkong Goals of Revision
Basel III: Finalising post-crisis reforms
Basel III: Finalising post-crisis reforms The impact of Basel IV Robert Jan Sopers Milosz Krasowski Stephan van Weeren Agenda High Level Impact of Basel III: Finalising post-crisis reforms The Road to
ECONOMIC AND REGULATORY CAPITAL
ECONOMIC AND REGULATORY CAPITAL Bank Indonesia Bali 21 September 2006 Presented by David Lawrence OpRisk Advisory Company Profile Copyright 2004-6, OpRisk Advisory. All rights reserved. 2 DISCLAIMER All
Basel III Pillar 3 disclosures 2014
Basel III Pillar 3 disclosures 2014 In various tables, use of indicates not meaningful or not applicable. Basel III Pillar 3 disclosures 2014 Introduction 2 General 2 Regulatory development 2 Location
Basel II Pillar 3 disclosures
Basel II Pillar 3 disclosures 6M10 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse, the Group, we, us and our mean Credit Suisse Group AG and its consolidated
Pillar 3 Semi-annual Risk Report
Pillar 3 Semi-annual Risk Report as at June 30, 2015 Pillar 3 Semi-annual Risk Report as at June 30, 2015 Table of contents 5 1. Own funds and capital adequacy 5 1.1 Own funds 5 1.2 Capital Adequacy 5
In various tables, use of - indicates not meaningful or not applicable.
Basel II Pillar 3 disclosures 2008 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse Group, Credit Suisse, the Group, we, us and our mean Credit Suisse Group AG
Basel II Pillar 3 disclosures 6M 09
Basel II Pillar 3 disclosures 6M 09 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse Group, Credit Suisse, the Group, we, us and our mean Credit Suisse Group
Basel II What does it mean for Canadian banks and investors?
Basel II What does it mean for Canadian banks and investors? Presented by: Vivek Wadhwa, McKinsey & Company January 25, 2008 1 Agenda Basel II Overview Background and Timing New Concepts Impact on Capital
The Statistical Mechanics of Financial Markets
The Statistical Mechanics of Financial Markets Johannes Voit 2011 johannes.voit (at) ekit.com Overview 1. Why statistical physicists care about financial markets 2. The standard model - its achievements
Credit Risk. Lecture 5 Risk Modeling and Bank Steering. Loïc BRIN
Credit Risk Lecture 5 Risk Modeling and Bank Steering École Nationale des Ponts et Chaussées Département Ingénieurie Mathématique et Informatique (IMI) Master II Credit Risk - Lecture 5 1/20 1 Credit risk
In various tables, use of indicates not meaningful or not applicable.
Basel II Pillar 3 disclosures 2012 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse, the Group, we, us and our mean Credit Suisse Group AG and its consolidated
RISK REPORT PILLAR
A French corporation with share capital of EUR 1,009,897,137.75 Registered office: 29 boulevard Haussmann - 75009 PARIS 552 120 222 R.C.S. PARIS RISK REPORT PILLAR 3 30.09.2018 CONTENTS 1 CAPITAL MANAGEMENT
The New Capital Adequacy Framework Basel II
The New Capital Adequacy Framework Basel II World Bank/IMF/Federal Reserve Seminar for Senior Bank Supervisors from Emerging Economies Washington, D.C. 17 October 2004 Elizabeth Roberts, Director Financial
BASEL II & III IMPLEMENTATION FRAMEWORK. Gift Chirozva Chief Bank Examiner Bank Licensing, Supervision & Surveillance Reserve Bank of Zimbabwe
BASEL II & III IMPLEMENTATION 1 FRAMEWORK Gift Chirozva Chief Bank Examiner Bank Licensing, Supervision & Surveillance Reserve Bank of Zimbabwe email: gchirozva@rbz.co.zw 9/16/2016 giftezh@gmail.com Outline
Information Disclosures under Basel III Capital Requirement As of 30 June 2018
Information Disclosures under Basel III Capital Requirement As of 30 June 2018 Scope of Information Disclosure TISCO Bank discloses information under Basel III capital requirement based on the bank position
RHB Bank Berhad. Basel II Pillar 3 Quantitative Disclosures 30 th June 2011 Consolidated basis
RHB Bank Berhad Basel II Pillar 3 Quantitative Disclosures 30 th June 2011 Consolidated basis RHB Bank Group Basel II Pillar 3 Quantitative Disclosures 30 th June 2011 Pillar 3 Disclosure Contents Page
Commonwealth Bank of Australia ACN
Commonwealth of Australia Basel II Pillar 3 - Capital Adequacy and Risk Disclosures Quarterly update as at 3 March 00. Scope of application The Commonwealth of Australia (the Group) is an Authorised Deposit-taking
Financial Stability Institute
Financial Stability Institute The implementation of the new capital adequacy framework in the Middle East Summary of responses to the Basel II Implementation Assistance Questionnaire July 2004 The implementation
Actuary in Banking. 1st Seminar on Finance & Investment 18th May 2018
1st Seminar on Finance & Investment 18th May 2018 Actuary in Banking Mr. Raminder P S Bagri DGM, Canara Bank International Operations & CCR Wing Bangalore Actuary in Banking Unchartered Territory for Actuaries
Information Disclosures under Basel III Capital Requirement As of 30 June 2018
Information Disclosures under Basel III Capital Requirement As of 30 June 2018 Scope of Information Disclosure TISCO Financial Group Public Company Limited (TISCO) discloses information under Basel III
Basel II. Stefan Hohl,, BIS Representative Office for Asia and the Pacific Bank for International Settlements
Basel II Stefan Hohl,, BIS Representative Office for Asia and the Pacific Outline Challenge 2nd consultative document Remarks from the industry Committee s response Implications Challenge Changing financial
Basel II Pillar 3 disclosures
Basel II Pillar 3 disclosures 6M12 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse, the Group, we, us and our mean Credit Suisse Group AG and its consolidated
RIZIČNA VRIJEDNOST (VALUE AT RISK) KAO METODA UPRAVLJANJA RIZICIMA U FINANCIJSKIM INSTITUCIJAMA
640 Ivan Šverko* UDK 336.76 : 338.246.2 Izvorni znanstveni rad RIZIČNA VRIJEDNOST (VALUE AT RISK) KAO METODA UPRAVLJANJA RIZICIMA U FINANCIJSKIM INSTITUCIJAMA Tržišni je rizik jedan od najvažnijih rizika
Basel III Pillar 3 disclosures
Basel III Pillar 3 disclosures 6M14 In various tables, use of indicates not meaningful or not applicable. Basel III Pillar 3 disclosures 6M14 List of abbreviations 2 Introduction 3 General 3 Additional
UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C FORM 6-K
UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 6-K REPORT OF FOREIGN PRIVATE ISSUER PURSUANT TO RULE 13a-16 OR 15d-16 UNDER THE SECURITIES EXCHANGE ACT OF 1934 Date: August
e-learning and reference solutions for the global finance professional Basel II University
e-learning and reference solutions for the global finance professional Basel II University A comprehensive e-learning product on the new capital adequacy framework issued by the Basel Committee. Upon completion
INTERNATIONAL REGULATION OF BANKING
INTERNATIONAL REGULATION OF BANKING Basel II: Capital and Risk Requirements SIMON GLEESON OXFORD UNIVERSITY PRESS CONTENTS SUMMARY Tables of Legislation xxiii List of Abbreviations v xxv I THE ELEMENTS
African Bank Holdings Limited and African Bank Limited
African Bank Holdings Limited and African Bank Limited Public Pillar III Disclosures in terms of the Banks Act, Regulation 43 CONTENTS 1. Executive summary... 3 2. Basis of compilation... 7 3. Supplementary
Disclosure Report Basel 2 Pillar 3
www.bancopopolare.it/en Disclosure Report Basel 2 Pillar 3 Data as at 30 September 2013 Disclosure Report Basel 2 - Pillar 3 Data as at 30 September 2013 This English translation of the Basilea 2 - Informativa
Risk e-learning. Modules Overview.
Risk e-learning Modules Overview Risk Sensitivities Market Risk Foundation (Banks) Understand delta risk sensitivity as an introduction to a broader set of risk sensitivities Explore the principles of
Capital Management 4Q Saxo Bank A/S Saxo Bank Group
Capital Management 4Q 2013 Contents 1. INTRODUCTION... 3 NEW REGULATION IN 2014... 3 INTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS (ICAAP)... 4 BUSINESS ACTIVITIES... 4 2. CAPITAL REQUIREMENTS, PILLAR I...
ABU DHABI COMMERCIAL BANK P.J.S.C
2012 ABU DHABI COMMERCIAL BANK P.J.S.C PILLAR 3 DISCLOSURES 31 December, 2012 CONTENTS 1. Overview... 3 2. ADCB s Approach to Pillar I... 4 3. Credit Risk and Credit Risk Mitigation (Standardised Approach)...
Isabelle Vaillant Director of Regulation. European Institute of Financial Regulation (EIFR) 23 Septembre 2016
Isabelle Vaillant Director of Regulation European Institute of Financial Regulation (EIFR) 23 Septembre 2016 Overview of the presentation 1 EBA mission and scope of action 2 EBA Single Rulebook 3 Regulatory
Disclosure Report as at 30 June. in accordance with the Capital Requirements Regulation (CRR)
Disclosure Report as at 30 June 2018 in accordance with the Capital Requirements Regulation (CRR) Contents 3 Introduction 4 Equity capital, capital requirement and RWA 4 Capital structure 8 Connection
Habib Canadian Bank Basel II Pillar 3 Supplemental Disclosures for Q1 and Q2, 2013
Habib Canadian Bank Basel II Pillar 3 Supplemental Disclosures for Q1 and Q2, 2013 August, 2013 Abbreviations & acronyms used: ICAAP the Internal Capital Adequacy Assessment Process HCB Habib Canadian
Study Guide for CAS Exam 7 on "Operational Risk in Perspective" - G. Stolyarov II, CPCU, ARe, ARC, AIS, AIE 1
Study Guide for CAS Exam 7 on "Operational Risk in Perspective" - G. Stolyarov II, CPCU, ARe, ARC, AIS, AIE 1 Study Guide for Casualty Actuarial Exam 7 on "Operational Risk in Perspective" Published under
Aims of the class (ciljevi časa):
Aims of the class (ciljevi časa): Key vocabulary: Unit 8. The Stock Market (=berza), New Insights into Business, pg. 74 Conditional 1 (Prvi tip kondicionalnih klauza) Conditional 2 (Drugi tip kondicionalnih
Basel II and Recent Market Development
Basel II and Recent Market Development 9 th OECD-ADBI Roundtable on Capital Market Reform in Asia (26 February 2008 buyoshi Chihara Deputy Commissioner for International Affairs Financial Services Agency,
RISK REPORT PILLAR BUILIDING TEAM SPIRIT TOGETHER
RISK REPORT PILLAR 3 30.06.2018 BUILIDING TEAM SPIRIT TOGETHER CONTENTS 1 CAPITAL MANAGEMENT AND ADEQUACY 3 1.1 prudential scope 3 1.2 Capital requirements 9 1.3 Leverage ratio management 11 1.3 Countercyclical
Basel III Pillar 3 disclosures
Basel III Pillar 3 disclosures 6M13 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse, the Group, we, us and our mean Credit Suisse Group AG and its consolidated
Basel Committee on Banking Supervision. Ninth progress report on adoption of the Basel regulatory framework
Basel Committee on Banking Supervision Ninth progress report on adoption of the Basel regulatory framework October 2015 This publication is available on the BIS website (www.bis.org). Bank for International
Section B: Risk Measures. Value-at-Risk, Jorion
Section B: Risk Measures Value-at-Risk, Jorion One thing to always keep in mind when reading this text is that it is focused on the banking industry. It mainly focuses on market and credit risk. It also
COPYRIGHTED MATERIAL. Bank executives are in a difficult position. On the one hand their shareholders require an attractive
chapter 1 Bank executives are in a difficult position. On the one hand their shareholders require an attractive return on their investment. On the other hand, banking supervisors require these entities
BONITETNI IZVJEŠTAJ. Izdato za: Bisnode d.o.o. Izdato dana Član grupe BISNODE, Stockholm, Švedska
BONITETNI IZVJEŠTAJ Izdato za: Bisnode d.o.o. Član grupe BISNODE, Stockholm, Švedska Bonitetni izvještaj PROFIL Poglavlje 1 Preduzeće: Adresa: Djelatnost: G 47.11 TRGOVINA NA MALO U NESPECIJALIZIRANIM
Basel III Pillar 3. First Half 2015 Report
Basel III Pillar 3 First Half 2015 Report Table of contents 4 Introduction 4 Location of Pillar 3 disclosures 7 Our approach to measuring risk exposure and risk-weighted assets 8 Scope of regulatory consolidation
Basel II Implementation Update
Basel II Implementation Update World Bank/IMF/Federal Reserve System Seminar for Senior Bank Supervisors from Emerging Economies 15-26 October 2007 Elizabeth Roberts Director, Financial Stability Institute
2018 HSBC Bank Canada Regulatory Capital and Risk Management Pillar 3 Supplemental Disclosures as at March 31, 2018
218 HSBC Bank Canada Regulatory Capital and Risk Management Pillar 3 Supplemental Disclosures as at March 31, 218 Index & Notes to Users Index Page Index Page Regulatory Capital Risk-Weighted Assets Exposure
Basel II and Financial Stability: Singapore s Experience
Basel II and Financial Stability: Singapore s Experience Bank Indonesia Seminar on Financial Stability 22 September 2006 Chia Der Jiun Executive Director, Prudential Policy Monetary Authority of Singapore
ICAAP Q Saxo Bank A/S Saxo Bank Group
ICAAP Q2 2014 Saxo Bank A/S Saxo Bank Group Contents 1. INTRODUCTION... 3 NEW CAPITAL REGULATION IN 2014... 3 INTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS (ICAAP)... 4 BUSINESS ACTIVITIES... 4 CAPITAL
2017 HSBC Bank Canada Regulatory Capital and Risk Management Pillar 3 Supplemental Disclosures as at September 30, 2017
217 HSBC Bank Canada Regulatory Capital and Risk Management Pillar 3 Supplemental Disclosures as at September 3, 217 Index & Notes to Users Index Page Index Page Regulatory Capital Risk-Weighted Assets
2017 HSBC Bank Canada Regulatory Capital and Risk Management Pillar 3 Supplemental Disclosures as at March 31, 2017
217 HSBC Bank Canada Regulatory Capital and Risk Management Pillar 3 Supplemental Disclosures as at March 31, 217 Index & Notes to Users Index Page Index Page Regulatory Capital Risk-Weighted Assets Exposure
2017 HSBC Bank Canada Regulatory Capital and Risk Management Pillar 3 Supplemental Disclosures as at June 30, 2017
217 HSBC Bank Canada Regulatory Capital and Risk Management Pillar 3 Supplemental Disclosures as at June 3, 217 Index & Notes to Users Index Page Index Page Regulatory Capital Risk-Weighted Assets Exposure
Regulatory Capital Pillar 3 Disclosures
Regulatory Capital Pillar 3 Disclosures December 31, 2016 Table of Contents Background 1 Overview 1 Corporate Governance 1 Internal Capital Adequacy Assessment Process 2 Capital Demand 3 Capital Supply
Samba Financial Group Basel III - Pillar 3 Disclosure Report. December 2016 PUBLIC
Basel III - Pillar 3 Disclosure Report December 2016 Basel III - Pillar 3 Disclosure Report as at December 31, 2016 Page 1 of 28 Table of contents Page 1. Executive summary 2 2. Introduction 2.1. Group
Incorporating the requirements of APS 330 Half Year Update as at 31 March 2018
Incorporating the requirements of APS 330 Half Year Update as at 31 March "My patients weren't liking the shoes out there. That's when I decided to design my own range." Caroline McCulloch FRANKiE4 Footwear
African Bank Holdings Limited and African Bank Limited
African Bank Holdings Limited and African Bank Limited Public Pillar III Disclosures in terms of the Banks Act, Regulation 43 CONTENTS 1. Executive summary... 3 2. Basis of compilation... 7 3. Supplementary
Regulatory Capital Pillar 3 Disclosures
Regulatory Capital Pillar 3 Disclosures June 30, 2015 Table of Contents Background 1 Overview 1 Corporate Governance 1 Internal Capital Adequacy Assessment Process 2 Capital Demand 3 Capital Supply 3 Capital
Competitive Advantage under the Basel II New Capital Requirement Regulations
Competitive Advantage under the Basel II New Capital Requirement Regulations I - Introduction: This paper has the objective of introducing the revised framework for International Convergence of Capital
Pillar 3 report. Table of Contents. Introduction 1. Scope of Application 2. Capital 3. Credit Risk Exposures 4. Credit Provision and Losses 6
Pillar 3 report Table of Contents Section 1 Introduction 1 Section 2 Scope of Application 2 Section 3 Capital 3 Section 4 Credit Risk Exposures 4 Section 5 Credit Provision and Losses 6 Section 6 Securitisation
BCBS Developments in Credit Risk Regulation
BCBS Developments in Credit Risk Regulation Hanne Meihuizen Quantitative Risk Management Expert Supervision Policy Department De Nederlandsche Bank (DNB) June 2015 The views expressed in the following
African Bank Holdings Limited and African Bank Limited. Annual Public Pillar III Disclosures
African Bank Holdings Limited and African Bank Limited Annual Public Pillar III Disclosures in terms of the Banks Act, Regulation 43 as at 30 September 2016 1 African Bank Holdings Limited and African
Finalising Basel II: The Way from the Third Consultative Document to Basel II Implementation
Finalising Basel II: The Way from the Third Consultative Document to Basel II Implementation Katja Pluto, Deutsche Bundesbank Mannheim, 11 July 2003 Content Overview Quantitative Impact Studies The Procyclicality
Basel II Pillar 3 Market Disclosure 30 June 2017
Company No. 295400-W OCBC Bank (Malaysia) Berhad Basel II Pillar 3 Market Disclosure 30 June 2017 The disclosure in this section refers to OCBC Bank (M) Berhad Group position. OCBC Bank (M) Berhad Group
Basel II Pillar 3 Market Disclosure 30 June 2016
Company No. 295400-W OCBC Bank (Malaysia) Berhad Basel II Pillar 3 Market Disclosure 30 June 2016 The disclosure in this section refers to OCBC Bank (M) Berhad Group position. OCBC Bank (M) Berhad Group
25 / 06 / 2008 APPLICATION OF THE BASEL II REFORM
25 / 06 / 2008 APPLICATION OF THE BASEL II REFORM Disclaimer The following presentation contains a number of forward-looking statements relating to Societe Generale s targets and strategy. These forecasts
Basel III - Pillar 3. Semiannual Disclosures
138943.4 Basel III - Pillar 3 Semiannual Disclosures As at 30th June 2017 Table of Contents Item Part 2 Overview of risk management and RWA Tables and templates* Template ref. # Page No. OV1 Overview of
Traded Risk & Regulation
DRAFT Traded Risk & Regulation University of Essex Expert Lecture 13 March 2015 Dr Paula Haynes Managing Director Traded Asset Partners 2015 www.tradedasset.com Traded Asset Partners Ltd Contents Introduction
2016 Pillar 3 Report. Incorporating the requirements of APS 330 First Quarter Update as at 31 December 2015
Pillar 3 Report Incorporating the requirements of APS 330 First Quarter Update as at 31 December 2015 This page has been left blank intentionally first quarter pillar 3 report 1. Introduction National
Disclosure of OTP Bank Plc. 30 June 2016
OTP Bank Plc. Disclosure of OTP Bank Plc. 30 June 2016 OTP Bank s consolidated and standalone data In line with Act CCXXXVII of 2013 on Credit Institutions and Financial Enterprises, and Regulation (EU)
UBS Bank (Canada) Basel Pillar III Disclosures Calendar Year 2014
154 University Avenue Toronto, ON M5H 3Z4 Telephone: 1-800-268-9709 www.ubs.com Basel CCID Corporate Identifier: 89266472 Table of Contents 1. Background... 3 2. Disclosures... 4 Table 1. Scope of application...
Basel Committee on Banking Supervision. High-level summary of Basel III reforms
Basel Committee on Banking Supervision High-level summary of Basel III reforms December 2017 This publication is available on the BIS website (www.bis.org). Bank for International Settlements 2017. All
Disclosure under Basel II Pillar III
Disclosure under Basel II Pillar III Purpose of disclosure: The Notification of the Bank of Thailand No: SorNorSor. 4/2556 dated 02 May 2013, Re: Disclosure of Information on Capital Fund Maintenance for
Optimisation of Decay Factor in Time Weighted (Brw) Simulation: Implications for Var Performance in Mediterranean Countries
Economic Research-Ekonomska Istraživanja ISSN: 1331-677X (Print) 1848-9664 (Online) Journal homepage: http://www.tandfonline.com/loi/rero20 Optimisation of Decay Factor in Time Weighted (Brw) Simulation:
2016 PILLAR 3 REPORT. Incorporating the requirements of APS 330 Third Quarter Update as at 30 June 2016
PILLAR 3 REPORT Incorporating the requirements of APS 330 Third Quarter Update as at 30 June This page has been left blank intentionally third quarter pillar 3 report 1. Introduction third quarter pillar
INVESTMENT PORTFOLIO OPTIMIZATION BY INVESTMENTS IN CATASTROPHE BONDS UDC : Vladimir Njegomir 1, Jelena Ćirić 2
FACTA UNIVERSITATIS Series: Economics and Organization Vol. 9, N o 4, 2012, pp. 441-455 Review paper INVESTMENT PORTFOLIO OPTIMIZATION BY INVESTMENTS IN CATASTROPHE BONDS UDC 330.322:336.763 Vladimir Njegomir
Habib Canadian Bank Basel II Pillar 3 Supplemental Disclosures as of December ME, 2011
Habib Canadian Bank Basel II Pillar 3 Supplemental Disclosures as of December ME, 2011 (March, 2012) Abbreviations & acronyms used: ICAAP the Internal Capital Adequacy Assessment Process HCB Habib Canadian
Pillar 3 Disclosure Report
Pillar 3 Disclosure Report 30 September 2018 United Overseas Bank Limited Incorporated in the Republic of Singapore Contents 1 INTRODUCTION... 3 2 KEY METRICS... 4 3 LEVERAGE RATIO... 5 4 OVERVIEW OF RWA...
Deutsche Bank AG Johannesburg Pillar 3 disclosure
Deutsche Bank AG Johannesburg For the half year ended 30 Deutsche Bank Risk & Capital Management Deutsche Bank Contents Page Overview 1 Financial performance 2 Financial position 3 Capital structure 4
CITIBANK, N.A. SOUTH AFRICA BRANCH QUARTERLY PUBLIC DISCLOSURE INFORMATION
CITIBANK, N.A. SOUTH AFRICA BRANCH QUARTERLY PUBLIC DISCLOSURE INFORMATION Citibank, N.A. is incorporated in the United States of America and has a national bank charter under the National Bank Act of
Supervisory Views on Bank Economic Capital Systems: What are Regulators Looking For?
Supervisory Views on Bank Economic Capital Systems: What are Regulators Looking For? Prepared By: David M Wright Group, Vice President Federal Reserve Bank of San Francisco July, 2007 Any views expressed
2015 HSBC Bank Canada Regulatory Capital and Risk Management Pillar 3 Supplemental Disclosures as at September 30, 2015
215 HSBC Bank Canada Regulatory Capital and Risk Management Pillar 3 Supplemental Disclosures as at September 3, 215 Index & Notes to Users Index Page Index Page Regulatory Capital Risk-Weighted Assets
Basel Committee Norms
Basel Committee Norms Basel Framework Basel Committee set up in 1974 Objectives Supervision must be adequate No foreign bank should escape supervision BASEL I Risk management Capital adequacy, sound supervision
Habib Canadian Bank Basel II Pillar 3 Supplemental Disclosures for Q1, Q2 and Q3, 2012
Habib Canadian Bank Basel II Pillar 3 Supplemental Disclosures for Q1, Q2 and Q3, 2012 October, 2012 Abbreviations & acronyms used: ICAAP the Internal Capital Adequacy Assessment Process HCB Habib Canadian
Pillar 3 and regulatory disclosures Credit Suisse Group AG 2Q17
Pillar 3 and regulatory disclosures Credit Suisse Group AG 2Q17 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse, the Group, we, us and our mean Credit Suisse
Pillar 3 Disclosure Report
Pillar 3 Disclosure Report 31 March 2018 United Overseas Bank Limited Incorporated in the Republic of Singapore Contents 1 INTRODUCTION... 3 2 KEY METRICS... 4 3 LEVERAGE RATIO... 5 4 OVERVIEW OF RWA...
PILLAR3 AS AT31MARCH 2016
BASEL I PILLAR3 CAPITALADEQUACY AND RISKS DISCLOSURES AS AT31MARCH 2016 COMMONWEALTH BANK OFAUSTRALIA ACN 123123124 9MAY2016 This page has been intentionally left blank Table of Contents 1 Introduction
Standard Chartered Bank (Thai) PCL Pillar 3 Disclosures 30 June 2017
Registered Office: 90 North Sathorn Road, Silom Bangkok, 10500, Thailand Overview During 2013, the Bank of Thailand ( BOT ) published the notifications re. Disclosure of Capital Maintenance of Commercial
Q4 18. Supplementary Regulatory Capital Information. For the Quarter Ended October 31, For further information, contact:
Supplementary Regulatory Capital Information For the Quarter Ended October 31, 2018 For further information, contact: JILL HOMENUK CHRISTINE VIAU Head, Investor Relations Director, Investor Relations 416.867.4770
Standard Chartered Bank (Thai) PCL Pillar 3 Disclosures 30 June 2018
Registered Office: 100 North Sathorn Road, Silom Bangkok, 10500, Thailand Overview During 2013, the Bank of Thailand ( BOT ) published the notifications re. Disclosure of Capital Maintenance of Commercial
African Bank Holdings Limited and African Bank Limited
African Bank Holdings Limited and African Bank Limited Public Pillar III Disclosures in terms of the Banks Act, Regulation 43 CONTENTS 1. Executive summary... 3 2. Basis of compilation... 9 3. Supplementary
Standard Chartered Bank Malaysia Berhad and its subsidiaries Pillar 3 Disclosures 31 December 2017
31 December 2017 Incorporated in Malaysia with registered Company No. 115793P Level 16, Menara Standard Chartered No. 30, Jalan Sultan Ismail 50250 Kuala Lumpur 1. Overview This document describe the Standard