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dc.contributor.author
Minas, Christos
en
dc.date.accessioned
2015-07-08T19:15:22Z
dc.date.available
2015-09-27T05:58:40Z
dc.date.issued
2015-07-08
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/786
dc.rights
Default License
dc.title
The Basel Accords and the market risk of a portfolio of Greek government bonds
en
heal.type
masterThesis
heal.keyword
Finance
en
heal.keyword
Economic policy
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heal.keyword
Financial crises
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heal.keyword
Basel III (2010)
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heal.keyword
Bonds--Greece
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heal.keyword
Portfolio management
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heal.keyword
Dissertations, Academic
en
heal.language
en
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
el
heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
el
heal.publicationDate
2011-10
heal.bibliographicCitation
Minas Christos, 2011, The basel accords and the market risk of a portfolio of Greek government bonds, Master's Dissertation, International Hellenic University
en
heal.abstract
This study aims in two directions. First of all, it analyzes in a non technical way the main characteristics of the three Basel Accords since 1988 when the first accord was established. The accords are a set of agreements and their regulatory rules must be followed by the international banks and the financial institutions worldwide. The Basel Committee started with the implementation of the first accord, but due to the changes in the financial market in the 1990‟s, it decided to present a new updated framework. In December 2010 the implementation of the Basel III Accord came as a response to the recent financial crisis bringing innovations with regards to the various risks that an international bank may face. One form of these risks is market risk. The second part of this study in the second part aims to calculate the market risk of a portfolio of Greek bonds following the variance-covariance approach. Through this approach, it aims to answer if this model is operational. Last but not least, this study aims to connect the Basel Accord with the estimation of the risks and present the capital requirements that a bank can set aside by holding this portfolio.
en
heal.tableOfContents
I. Abstract ................................................................................................................................... 4 II. Acknowledgments.................................................................................................................... 5 Chapter 1. Introduction .................................................................................................................. 6 Chapter 2. Literature Review ......................................................................................................... 8 Chapter 3. Theoretical analysis of the Basel Accords ....................................................................12 3.1. The Basel Committee .............................................................................................................12 3.2. The Basel I Accord .................................................................................................................12 3.2.1. The Structure of the Accord ......................................................................................13 3.3. Market Risk- The 1996 Amendment .......................................................................................15 3.3.1. The Standardized Approach ......................................................................................16 3.3.2. The Internal Model Approach ...................................................................................17 3.4. The Basel II Accord ................................................................................................................19 3.4.1. The structure of the Accord.......................................................................................19 3.4.1.i. Pillar 1 .......................................................................................................................20 3.4.1.ii. Pillar 2 ......................................................................................................................22 3.4.1.iii. Pillar 3 .....................................................................................................................23 3.5. The Basel III Accord ..............................................................................................................25 3.5.1. Capital Requirements................................................................................................25 3.5.2. Additional Buffers ....................................................................................................26 3.5.3. Leverage and Liquidity Ratios ..................................................................................27 3.5.4. Revised Market Risk Framework ..............................................................................28 Chapter 4. Research Design and Methodology ..............................................................................30 4.1. Introduction .................................................................................................................30 4.2. Data ............................................................................................................................30 4.3. Methodology ...............................................................................................................31 4.3.1. Value-At-Risk Procedure .............................................................................................31 4.3.2. Backtesting Procedures ................................................................................................34 Chapter 5. Empirical Results ........................................................................................................38 5.1. Value-at-Risk Computation .........................................................................................38 5.2. Backtesting Results .....................................................................................................42 Chapter 6. Conclusion ..................................................................................................................48 References ....................................................................................................................................50 Appendix ......................................................................................................................................53
en
heal.advisorName
Chalamandaris, Dr George
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heal.committeeMemberName
Chalamandaris
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heal.committeeMemberName
Alexakis
en
heal.committeeMemberName
Tsekrekos
en
heal.academicPublisher
School of Economics and Business Administration, Msc in Banking and Finance
en
heal.academicPublisherID
ihu
heal.numberOfPages
62
heal.fullTextAvailability
true


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