Comparison of Capital Requirements under Basel II and Basel III : RequirementsUnder Basel IIUnder Basel III Minimum Ratio of Total Capital To RWAs8%10.50% Minimum Ratio of Common Equity to RWAs2%4.50% to 7.00% Tier I capital to RWAs4%6.00% ...
Back-testing is a comparison of the daily VaR estimate with clean profit and loss (clean P&L) as defined by the market risk capital rule. Clean P&L is the change in the value of the Company's covered trading positions that would have occurred had previous end-of-day covered trading ...
The Comparison of Volatility Forecasting Models in VaR Calculations and Backtesting according to Basel II: An Application on ISE 100 IndexVolatilityBasel IIBacktestingValue-at-RiskFor determining the Value-at-Risk number with statistical models volatility must be the primary calculation. There are ...
Comparison of the spectral acceleration amplification for particular zones covering the city of Basel. (top left) The spatial extent of the zones [Kind, 2002] with the fundamental frequency increasing from the southeast to the northwest (indicated by numbers). The thick lines 1 – 5 correspond ...