Handbook of Basel III capital : enhancing bank capital in practice

Cover -- Title Page -- Copyright -- Contents -- Preface -- About the Author -- Chapter 1: Overview of Basel III -- 1.1 Introduction to Basel III -- 1.1.1 Basel III, CRR, CRD IV -- 1.1.2 A Brief History of the Basel Accords -- 1.1.3 Accounting vs. Regulatory Objectives -- 1.2 Expected and Unexpected Credit Losses and Bank Capital -- 1.2.1 Expected Losses -- 1.2.2 Unexpected Losses -- 1.3 The Three‐Pillar Approach to Bank Capital -- 1.3.1 Pillar 1 - Minimum Capital Requirements -- 1.3.2 Pillar 2 - Supervisory Review and Evaluation Process -- 1.3.3 Pillar 3 - Market Discipline -- 1.3.4 Significant Subsidiaries Disclosure Requirements -- 1.4 Risk‐Weighted Assets (RWAs) -- 1.4.1 Calculation of Credit Risk RWAs -- 1.4.2 Calculation of Counterparty Credit Risk (CCR) RWAs -- 1.4.3 Calculation of Market Risk RWAs -- 1.4.4 Calculation of Securitisation Exposures RWAs -- 1.4.5 Calculation of Operational Risk RWAs -- 1.4.6 Link between RWAs and Capital Charges -- Chapter 2: Minimum Capital Requirements -- 2.1 Components and Minimum Requirements of Bank Capital -- 2.1.1 Pillar 1 Capital Requirements -- 2.1.2 Pillar 2 Capital Requirements -- 2.2 Components and Minimum Requirements of Capital Buffers -- 2.3 Capital Conservation Buffer -- 2.4 Countercyclical Buffer -- 2.4.1 The Countercyclical Buffer Ratio and the Credit-to-GDP Gap -- 2.4.2 The Reciprocity Principle -- 2.5 Systemic Risk Buffers -- 2.5.1 Systemic Risk Buffer -- 2.5.2 Global Systemically Important Bank (G-SIB) Buffer -- 2.5.3 Other Systemically Important Institution (O-SII) -- 2.5.4 Interaction between the Systemic Risk Buffers -- 2.6 Going Concern vs. Gone Concern Capital -- 2.6.1 Going Concern -- 2.6.2 Gone Concern -- 2.7 Case Study: UBS vs. JP Morgan Chase G-SIB Strategies -- 2.7.1 G-SIB Methodology -- 2.7.2 UBS's G-SIB Strategy.