Hull, Chapter 16: Basel II.5, Basel III, and Other Post-Crisis Changes is a 45-minute instructional video analyzing the following concepts:
* Describe and calculate the stressed value-at-risk measure introduced in Basel 2.5, and calculate the market risk capital charge.
* Explain the process of calculating the incremental risk capital charge for positions held in a bank’s trading book.
* Describe the comprehensive risk measure (CRM) for positions which are sensitive to correlations between default risks.
* Define in the context of Basel III and calculate where appropriate: Tier 1 capital and its components, Tier 2 capital and its components, Required Tier 1 equity capital, total Tier 1 capital, and total capital
* Describe the motivations for and calculate the capital conservation buffer and the countercyclical buffer introduced in Basel III.
* Describe and calculate ratios intended to improve the management of liquidity risk, including the required leverage ratio, the liquidity coverage ratio, and the net stable funding ratio.
* Describe the mechanics of contingent convertible bonds (CoCos) and explain the motivations for banks to issue them.
* Explain the major changes to the U.S. financial market regulations as a result of Dodd-Frank.