Hull, Chapter 15: Basel I, II, and Solvency II is a one-hour, 5-minute instructional video analyzing the following concepts:
* Explain the motivations for introducing the Basel regulations, including key risk exposures addressed and explain the reasons for revisions to Basel regulations over time.
* Explain the calculation of risk-weighted assets and the capital requirement per the original Basel I guidelines.
* Describe and contrast the major elements—including a description of the risks covered—of the two options available for the calculation of market risk: Standardized Measurement Method & Internal Models Approach
* Calculate VaR and the capital charge using the internal models approach, and explain the guidelines for backtestingVaR.
* Describe and contrast the major elements of the three options available for the calculation of credit risk: Standardized Approach, Foundation IRB Approach & Advanced IRB Approach
* Describe and contract the major elements of the three options available for the calculation of operational risk: basic indicator approach, standardized approach, and the Advanced Measurement Approach.
* Describe the key elements of the three pillars of Basel II: minimum capital requirements, supervisory review, and market discipline.
* Define in the context of Basel II and calculate where appropriate: Probability of default (PD), Loss given default (LGD), Exposure at default (EAD) & Worst case probability of default
* Differentiate between solvency capital requirements (SCR) and minimum capital requirements (MCR) in the Solvency II framework, and describe the repercussions to an insurance company for breaching the SCR and MCR.
* Compare the standardized approach and the internal models approach for calculating the SCR in Solvency II.