1. Example Index
Copyright 2018 CapitaLogic Limited
Example Description Excel technique
1 Weighted average RM
2 Residential mortgage
3 Qualified revolving retail exposure
4 Other retail exposure
5 Institution exposure
6 SME corporate exposure
7 Large financial institution exposure
8 Substitution framework
9 Double default framework
10 Partial static hedge
11 Dynamic hedge
12 IRB vs standardized approach on retail debts
13 IRB vs standardized approach on senior debts
14 IRB vs standardized approach on subordinated debts
This Excel workbook is prepared in accordance with
Chapter 18 of the text book
"Managing Credit Risk Under The Basel III Framework, 3
rd
ed"
Authored by :Dr. LAM Yat-fai (林日辉)
Principal, Structured Products Analytics, CapitaLogic Limited
Adjunct Professor of Finance, City University of Hong Kong
Doctor of Business Administration
CFA, CAIA, CAMS, FRM, PRM
Website: https://sites.google.com/site/crmbase
E-mail: crmbasel@gmail.com
Copyright 2018 CapitaLogic Limited