A coherent aggregation framework for stress testing and scenario analysisWe present a methodology to aggregate in a coherent manner condi-tional stress losses in a trading or banking book....
Critical analysis of the new basel minimum capital requirements for market risk... a revised market risk framework (FRTB), and subsequent versions published thereafter, the Basel Committee suggests new ways of dealing with market risk in banks’ trading and banking books....
Liquidity risk management in the banking book: a practical framework approach to basel iii regulations... This thesis proposes a framework on liquidity risk management in the banking book that a bank may adopt so as to improve the way in it could manage the anticipated changes within tits regulatory environment
Economic capital for dutch retail banking books : a study on the effects of embedded options in dutch retail banking books on interest rate risk and economic capitalIn this thesis we study the effects of embedded options in the retail banking book on interest rate risk and economic capital....
