Basel III
110 white papers and resources
Risk Library hosts a number of Basel III white papers by leading experts. Use the information resource for the latest industry developments and to ensure that your organisation meets all Basel III requirements. Basel III is the third set of global regulatory requirements agreed upon by members of the Basel Committee. It builds upon Basel I and II by adding new core capital requirements to strengthen a banks position. Banks will now have to hold increased levels of common equity and additional capital butters, including a counter cyclical buffer. A minimum leverage ratio and liquidity ratios are being introduced.
LDTI VS IFRS 17 - Simpler, But Not Simple
An outline of the critical areas to consider when assessing your plan for IFRS 17 and LDTI.
A guide to selecting a Treasury ALM system
MORS Software has developed this guide for banks, when selecting a new Treasury Management System (TMS) or Asset Liability Management (ALM) system (or both). The paper also outlines MORS Software’s approach to delivering and implementing Treasury ALM systems.
EAD Parameter: A stochastic way to model the Credit Conversion Factor
This white paper aims at estimating credit risk by modelling the Credit Conversion Factor (CCF) parameter related to the Exposure-at-Default (EAD). It has been decided to perform the estimation thanks to stochastic processes instead of usual statistical methodologies (such as classification…
Insurers: Are You Ready for IFRS 17?
This white paper explains why insurers should be taking action now to prepare for the new requirements, and what to look for in an IFRS 17 solution.
Counting and Cutting the Cost of Compliance - A new tool to pinpoint and reduce compliance costs
This report outlines the key issues facing the industry in Risk Data, Aggregation and Regulatory Reporting (RDAR) cost compliance, details a robust methodology designed to highlight the core trends and ‘levers’ governing RDAR compliance costs, and offers clear, actionable insight to readers…
Rethinking XVA sensitivities: Making them universally achievable
This white paper explores XVA calculation techniques that can accelerate performance and give banks an advantage over competitors. It further explores the benefits of calculating XVA’s using adjoint automatic differentiation over the ‘bump and run’ technique.
Basel 3 or Basel 4? Where do we stand
This white paper analyzes the new set of Basel 3 rules (also known as “Basel 4”) and the proposed changes to approaches for credit risk. It further offers Prometeia’s views on the implementation of these new rules in the current EU banking regulatory framework.
IFRS 9, Stress Testing, ICAAP - A comprehensive framework for PD calculation
This white paper explores a comprehensive framework for IFRS 9, Stress Testing and ICAAP probabilities of default (PD) calculation. It further addresses some of the main problems arising in developing PDs for regulatory purposes and how to overcome these challenges.
Rising to the Intraday Challenge
This white paper explores the new requirements for intraday cash and liquidity management reporting introduced by Basel III. The paper further provides a solution to help organisations comply with this new regulation.
A Summary of BCBS Interest Rate Risk in the Banking Book Directive
This white paper summarizes the core Pillar 2 approach of Interest Rate in the Banking Book (IRRBB), and the alternative Pillar 1 approach of IRRBB used by certain banks in a few situations. It also includes a practical approach to implementing IRRBB.