Copula Dependence Structure on Stock Market with Application to Risk
Sunday, 29 January 2012 | 
John A Morrison
Bayesian Methods in Portfolio Credit Risk Management
Sunday, 29 January 2012 | John A Morrison
Bayesian Methods in
Portfolio Credit Risk Management
A dissertation submitted to the
SWISS FEDERAL INSTITUTE OF TECHNOLOGY
ZURICH
for the degree of
Doctor of Sciences
presented by
JONATHAN ERIK PURVIS WENDIN
MSc. Engineering Physics KTH
born 17 April 1978
citizen of Sweden
accepted on the recommendation of
Prof. Dr. Alexander J. McNeil, examiner
Prof. Dr. Peter L. Bühlmann, co-examiner
Prof. Dr. Philipp J. Schönbucher, co-examiner
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Tags: Alexander J McNeil, analytics, Bayesian, credit, risk, stress test
Official BIS: Group of Governors and Heads of Supervision announces higher global minimum capital standards Basel III
Sunday, 12 September 2010 | Finance - Banki...
HEALTH WARNING : THIS MAY REQUIRE THE ADOBE PDF FACILITY,
IT DOES GO ON A BIT; BUT IS NEVERTHELESS WORTH IT
At its 12 September 2010 meeting, the Group of Governors and Heads of Supervision, the oversight body of the Basel Committee on Banking Supervision, announced a substantial strengthening of existing capital requirements and fully endorsed the agreements it reached on 26 July 2010. These capital reforms, together with the introduction of a global liquidity standard, deliver on the core of the global financial reform agenda and will be presented to the Seoul G20 Leaders summit in November.
The Committee's package of reforms will increase the minimum common equity requirement from 2% to 4.5%. In addition, banks will be required to hold a capital conservation buffer of 2.5% to withstand future periods of stress bringing the total common equity requirements to 7%. This reinforces the stronger definition of capital agreed by Governors and Heads of Supervision in July and the higher capital requirements for trading, derivative and securitisation activities to be introduced at the end of 2011.
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