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2.1 2.2 2.3 2.4 Background 33 Definition of Market Risk 34 Conceptual Approaches for Modeling Market Risk 37 Modern Portfolio Theory 39 2.4.1 The Capital Asset Pricing Model 41 2.4.2 The Security Market Line 43
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2.4.3 Modified Form of CAPM by Black, Jensen, and Scholes 45 2.4.4 Arbitrage Pricing Theory 46 2.4.5 Approaches to Option Pricing 47 Regulatory Initiatives for Market Risks and Value at Risk 54 2.5.1 Development of an International Framework for Risk Regulation 56 2.5.2 Framework of the 1988 BIS Capital Adequacy Calculation 56 2.5.3 Criticisms of the 1988 Approach 58 2.5.4 Evolution of the 1996 Amendment on Market Risks 58 Amendment to the Capital Accord to Incorporate Market Risks 60 2.6.1 Scope and Coverage of Capital Charges 60 2.6.2 Countable Capital Components 61 2.6.3 The de Minimis Rule 62 The Standardized Measurement Method 62 2.7.1 General and Specific Risks for Equity- and Interest-Rate-Sensitive Instruments 65 2.7.2 Interest-Rate Risks 66 2.7.3 Equity Position Risk 79 2.7.4 Foreign-Exchange Risk 83 2.7.5 Commodities Risk 84 2.7.6 Treatment of Options 88 2.7.7 Criticisms of the Standard Approach 94 The Internal Model Approach 95 2.8.1 Conditions for and Process of Granting Approval 95 2.8.2 VaR-Based Components and Multiplication Factor 97 2.8.3 Requirement for Specific Risks 98 2.8.4 Combination of Model-Based and Standard Approaches 98 2.8.5 Specification of Market Risk Factors to Be Captured 99 2.8.6 Minimum Quantitative Requirements 101 2.8.7 Minimum Qualitative Requirements 102 The Precommitment Model 107 Comparison of Approaches 108 Revision and Modification of the Basel Accord on Market Risks 109 2.11.1 The E.U. Capital Adequacy Directive 109 2.11.2 New Capital Adequacy Framework to Replace the 1988 Accord 110
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2.12 Regulation of Nonbanks 110 2.12.1 Pension Funds 111 2.12.2 Insurance Companies 111 2.12.3 Securities Firms 112 2.12.4 The Trend Toward Risk-Based Disclosures 113 2.12.5 Disclosure Requirements 113 2.12.6 Encouraged Disclosures 114 2.13 Market Instruments and Credit Risks 114 2.14 Summary 116 2.15 Notes 117
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Credit Risk 129
Background 129 Definition 130 Current Credit Risk Regulations 130 Deficiencies of the Current Regulations 131 Deficiencies of the Current Conceptual Approaches for Modeling Credit Risk 133 3.6 Conceptual Approaches for Modeling Credit Risk 135 3.6.1 Transaction and Portfolio Management 136 3.6.2 Measuring Transaction Risk Adjusted Profitability 140 3.7 Measuring Credit Risk for Credit Portfolios 140 3.7.1 Economic Capital Allocation 141 3.7.2 Choice of Time Horizon 146 3.7.3 Credit Loss Measurement Definition 146 3.7.4 Risk Aggregation 149 3.8 Development of New Approaches to Credit Risk Management 150 3.8.1 Background 151 3.8.2 BIS Risk-Based Capital Requirement Framework 152 3.8.3 Traditional Credit Risk Management Approaches 154 3.8.4 Option Theory, Credit Risk, and the KMV Model 159 3.8.5 J. P. Morgan s CreditMetrics and Other VaR Approaches 167 3.8.6 The McKinsey Model and Other Macrosimulation Models 178 3.1 3.2 3.3 3.4 3.5
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3.13 3.14
3.8.7 KPMG s Loan Analysis System and Other Risk-Neutral Valuation Approaches 183 3.8.8 The CSFB CreditRisk+ Model 190 3.8.9 CSFB s CreditRisk+ Approach 193 3.8.10 Summary and Comparison of New Internal Model Approaches 197 Modern Portfolio Theory and Its Application to Loan Portfolios 205 3.9.1 Background 205 3.9.2 Application to Nontraded Bonds and Credits 208 3.9.3 Nonnormal Returns 209 3.9.4 Unobservable Returns 209 3.9.5 Unobservable Correlations 209 3.9.6 Modeling Risk Return Trade-off of Loans and Loan Portfolios 209 3.9.7 Differences in Credit Versus Market Risk Models 225 Backtesting and Stress Testing Credit Risk Models 226 3.10.1 Background 226 3.10.2 Credit Risk Models and Backtesting 227 3.10.3 Stress Testing Based on Time-Series Versus Cross-Sectional Approaches 228 Products with Inherent Credit Risks 229 3.11.1 Credit Lines 229 3.11.2 Secured Loans 231 3.11.3 Money Market Instruments 233 3.11.4 Futures Contracts 237 3.11.5 Options 240 3.11.6 Forward Rate Agreements 243 3.11.7 Asset-Backed Securities 245 3.11.8 Interest-Rate Swaps 247 Proposal for a Modern Capital Accord for Credit Risk 250 3.12.1 Institute of International Finance 251 3.12.2 International Swaps and Derivatives Association 252 3.12.3 Basel Committee on Banking Supervision and the New Capital Accord 253 Summary 263 Notes 265
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