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Contents
International Regulation of Banking - Capital and Risk Requirements, 2nd Edition by Gleeson, Simon (4th October 2012)
- Preliminary Material
- Main Text
- Part I The Elements of Bank Financial Supervision
- Preliminary Material
- 1 Introduction to Banks and Banking
- 2 Why are Banks Supervised?
- Preliminary Material
- 2.01
- A Basis of Bank Supervision—the Basel Principles
- 2.02
- Principle 1—Objectives, independence, powers, transparency, and co-operation.
- Principle 2—Permissible activities.
- Principle 3—Licensing criteria.
- Principle 4—Transfer of significant ownership.
- Principle 5—Major acquisitions.
- Principle 6—Capital adequacy.
- Principle 7—Risk management process.
- Principle 8—Credit risk.
- Principle 9—Problem assets, provisions, and reserves.
- Principle 10—Large exposure limits.
- Principle 11—Exposures to related parties.
- Principle 12—Country and transfer risks.
- Principle 13—Market risks.
- Principle 14—Liquidity risk.
- Principle 15—Operational risk.
- Principle 16—Interest rate risk in the banking book.
- Principle 17—Internal control and audit.
- Principle 18—Abuse of financial services.
- Principle 19—Supervisory approach.
- Principle 20—Supervisory techniques.
- Principle 21—Supervisory reporting.
- Principle 22—Accounting and disclosure.
- Principle 23—Corrective and remedial powers of supervisors.
- Principle 24—Consolidated supervision.
- Principle 25—Home-host relationships.
- B Capital Regulation
- C The Constraints on Bank Capital Regulation
- D The Quantum of Bank Capital Requirements
- E Does the Banking Crisis Prove that Risk Capital-based Regulation Failed?
- F Market Crisis and Regulation
- G Protecting the Public from the Consequences of Bank Failure
- 3 Basel and International Bank Regulation
- Preliminary Material
- A The Basel Committee and the Basel Accord
- B Addressing Failures of Multinational Banks
- C International Institutional Co-operation in Bank Regulation
- 3.16
- Provide a legal basis for colleges of supervisors
- To create a principle of optimal recovery for all clients in cross-border insolvencies of financial sector companies
- Provide a basis for mutual development of client protection measures and for mutual recognition of those measures
- 3.19
- Mandate information-sharing and co-operation amongst supervisors and economic stability regulators, and enable them to co-operate in multinational work-outs
- Provide for multilateral co-operation in the supervision of markets which do not have a single identifiable seat (such as derivatives, syndicated loans, and foreign exchange markets)
- 4 Basel III
- Preliminary Material
- A Policy Responses to the Crisis
- B Basel 2.5
- C Basel III
- 4.09
- Strengthening the global capital framework
- Enhancing risk coverage
- Leverage ratio
- Countercyclical buffers
- Systematic interconnectedness
- Systemic risk
- Introducing a global liquidity standard
- Monitoring tools
- Addressing reliance on external credit ratings and minimizing cliff effects
- Enhanced counterparty credit risk management requirements
- Stress testing
- Implementation and transitional arrangements
- 5 The Bank Capital Calculation—Basel II
- Preliminary Material
- A The Basic Bank Capital Calculation
- B What is Capital?
- C The Bank Capital Hierarchy
- D Capital Monitoring
- E ‘Gearing’ Rules
- F The Components of Capital
- G Tier 1
- H Tier 2
- I Deductions
- J Tier 3
- K Capital Arising from Revaluation of Assets
- L Deductions for Investment Firms
- M Bank Capital Resources—Summary Table
- 6 The Bank Capital Calculation—Basel III
- Preliminary Material
- A The Calculation of Bank Capital under Basel III
- 6.01
- Core tier 1 capital
- Tier 2 capital
- 6.07
- Directly issued instruments
- Indirectly issued instruments
- Other components of capital
- Regulatory adjustments
- Intangibles and goodwill
- Deferred tax assets
- Cash flow hedge reserve
- Provision shortfall
- Gain on sale related to securitization transactions
- Gains and losses due to changes in own credit risk on fair valued financial liabilities
- Defined benefit pension fund assets and liabilities
- Investments in own shares (treasury stock)
- Bank holdings in banking, financial, and insurance entities
- Basel III and capital requirements
- Part II Commercial Banking
- Preliminary Material
- 7 Credit Risk
- 8 The Standardized Approach
- Preliminary Material
- 8.01
- 8.02
- A Classification of Exposures, Credit Conversion Factors, and Credit Risk Mitigation
- B Ratings and Rating Agencies
- C Exposures to Sovereigns
- D Exposures to Banks and Financial Institutions
- E Exposures to Corporates
- F Exposures to Retail Customers
- G Commercial Mortgage Exposures
- H Overdue Undefaulted Exposures
- I High-Risk Exposures
- J Covered Bonds
- K Securitization Exposures
- L Short-Term Claims on Financial Institutions and Corporates
- M Fund Exposures
- N Other Assets
- O Off-Balance Sheet Items
- 9 Model Based Approaches to Risk Weighting
- Preliminary Material
- A Introduction to the Basel Risk Model
- B VaR and the Basel Framework
- C The Basic Basel Formula
- D Putting It All Together
- E The Retail Exposures Formula
- F Translating between Capital Requirements and Risk Weightings
- G Model Types
- H Illustrative Risk Weights
- I Modelling in Practice
- J Variations in Credit Risk Weightings between Firms
- K Inputs and Outputs
- L Becoming an IRB Firm
- 10 The Internal Ratings Based Approach
- Preliminary Material
- 10.01
- A Corporate, Sovereign, and Bank Exposures
- B Exposure at Default
- C Specialized Lending
- D Retail and Mortgage Exposures
- E Eligible Purchased Receivables
- F Equity Exposures
- 11 Netting, Collateral, and Credit Risk Mitigation
- Part III Investment Banking
- Preliminary Material
- 12 The Trading Book
- 13 Securities Underwriting
- 14 Trading Book Models
- 15 Credit Derivatives
- 16 Counterparty Risk
- Preliminary Material
- A Introduction
- B Credit Derivatives
- C Collateral in the Trading Book
- D Double Default in the Trading Book
- E Rules Common to Banking and Trading Books
- F Basel III and CCR
- 17 Counterparty Credit Risk for Derivatives, Securities Financing, and Long Settlement Exposures
- 18 Securitization and Repackaging
- Preliminary Material
- A Introduction
- B What is a Securitization?
- C True Sale and Derecognition of Assets
- D Risk Weighting of Securitization Exposures
- E Weighting Holdings of Securitization Positions— the Standardized Approach
- F The IRB Approach
- G Revolving Credit Securitizations
- H Securitization and Basel III
- Part IV Other Risks
- Preliminary Material
- 19 Operational Risk Requirements
- 20 Concentration and Large Exposures
- Part V Basel III Requirements
- Preliminary Material
- 21 Liquidity Requirements
- Preliminary Material
- A Liquidity Supervision
- B Qualitative Supervision of Liquidity
- C Quantitative Supervision of Liquidity—pre Basel III
- D Liquidity under Basel III
- 21.43
- The two requirements
- Liquidity Coverage Ratio
- 21.47
- 21.48
- 21.49
- 21.50
- 21.51
- 21.52
- 21.53
- Characteristics of high quality liquid assets
- Operational requirements
- Level 1 assets
- Level 2 assets
- Treatment for jurisdictions with insufficient liquid assets
- Total net cash outflows
- Retail deposits
- Unsecured wholesale funding
- Wholesale funding from operational relationships
- Secured funding
- Drawdowns on committed credit and liquidity facilities
- Cash inflows
- The net stable funding ratio
- 22 The Leverage Ratio
- 23 Basel III, Derivatives, Clearing, and Exposures to CCPS
- Part VI Bank Group Supervision
- Preliminary Material
- 24 Group Supervision
- 25 Financial Conglomerates
- 26 Cross-Border Supervision of Bankroups
- 27 Pillar Three—Disclosure Requirements
- Preliminary Material
- A Introduction
- B Scope of the Pillar Three Regime
- C Basic Requirements
- D Capital Structure
- E Capital Adequacy
- F Credit Risk: General Disclosures for All Banks
- G Credit Risk: Disclosure for Portfolio Subject to the Standardized Approach and Supervisory Risk Weights in the IRB Approaches
- H Credit Risk: Disclosures for Portfolio Subject to IRB Approaches
- I Credit Risk Mitigation: Disclosures for Standardized and IRB Approaches
- J General Disclosure for Exposures Related to Counterparty Credit Risk
- K Securitization: Disclosure for Standardized and IRB Approaches
- L Market Risk: Disclosures for Banks using the Standardized Approach
- M Market Risk: Disclosures for Banks using the Internal Models Approach (IMA) for Trading Portfolios
- N Operational Risk
- O Equities: Disclosures for Banking Book Positions
- P Interest Rate Risk in the Banking Book
- Q Remuneration
- Part I The Elements of Bank Financial Supervision
- Further Material
