use matlab in basel iii frameworks
basel iii is a global regulatory standard on bank capital adequacy, stress testing, and market liquidity risk. it requires banks to use quantitative methods for risk projection and economic capital forecasting, and report results across the organization. basel iii is the third set of reform measures agreed upon by the basel committee on banking supervision.
compared with basel ii, basel iii introduced additional regulatory requirements and revised risk calculation methodologies in many areas, including:
- market risk and credit risk, with the introduction of stricter capital requirements
- liquidity risk, with the introduction of liquidity coverage ratio (lcr) and net stable funding ratio (nsfr)
- counterparty credit risk
- credit valuation adjustment (cva)
- wrong-way risks
common tasks associated with basel iii compliance include:
- monte carlo simulation, including the use of copula methods for credit portfolio simulation
- scenario analysis and stress testing
- econometrics for procyclical and countercyclical analysis
- asset-liability modeling
- parallel and gpu computing for time-efficient simulation and parameter identification
- automated reporting
for more information on risk management, regulatory compliance, and capital allocation infrastructures, see the examples below, which feature matlab® products for finance and deployment.
examples and how to
software reference
see also: risk management, credit risk, liquidity risk, operational risk, , solvency ii, value-at-risk, conditional value-at-risk, cecl with matlab, basel iv, fraud analytics, , , modelscape