This research examines the potential impact of Basel IV capital requirements (CAR) on bank lending ability in Africa. To achieve the objective, the study simulated Basel IV capital ratio using historical data to create sample representative banks as if the selected banks had implemented Basel IV...

In this paper, we study the impact of extreme events on the loan portfolios of the Greek banking system. These portfolios are grouped into three separate groups based on the size of the bank to which they belong, in particular, large, medium, and small size. A series of extreme scenarios was...

I show how capital regulations, by imposing a low or zero cost on undrawn credit lines, can lead to ex post misallocation of credit across different borrowers following a market shock. This effect is in addition to the liquidity impact of credit line drawdowns highlighted by previous literature....

In this paper, the standardized approach will be analyzed and studied. At first, an analysis will be provided to better understand why CCR became so important, what are its characteristics, etc…. Then a discussion around the CVA definition from the regulator's perspective will be presented....

Since 1996 the Basel risk-weighting regime has been based on the distinction between the trading and the banking book. For a long time credit items have been weighted less strictly if held in the trading book, on the assumption that they are easy to hedge or sell. The Great Financial Crisis made...

Regulations leading up to the financial crisis of 2007-2009 provided incentives for banks shift their risk profiles toward less regulated areas. We focus on the case of operational risk which went from being a relatively benign and largely unregulated risk type to a major risk that now accounts...

Operational risk management in banking has assumed such importance during the last decades. It has become increasingly important to measure, manage, and assess the impact of operational risk in the economics of banking. The paper aims to demonstrate how an effective operational risk management...

Revised standards for capital requirements for market risks in a bank's trading book have been issued as a result of the Fundamental Review of the Trading Book. Under the new standards, default risk needs to be measured and capitalized through a dedicated Default Risk Charge (DRC). While...

This article describes the Basel II capital rules for securitization exposures, explaining the considerations that influenced regulators' decisions, the approaches for calculating capital and how banks will apply them, the financial engineering that underlies the different approaches and the...