### 金融代写|量化风险管理代写Quantitative Risk Management代考|The Triggering Elements

statistics-lab™ 为您的留学生涯保驾护航 在代写量化风险管理Quantitative Risk Management方面已经树立了自己的口碑, 保证靠谱, 高质且原创的统计Statistics代写服务。我们的专家在代写量化风险管理Quantitative Risk Management代写方面经验极为丰富，各种代写量化风险管理Quantitative Risk Management相关的作业也就用不着说。

• Statistical Inference 统计推断
• Statistical Computing 统计计算
• Advanced Probability Theory 高等概率论
• Advanced Mathematical Statistics 高等数理统计学
• (Generalized) Linear Models 广义线性模型
• Statistical Machine Learning 统计机器学习
• Longitudinal Data Analysis 纵向数据分析
• Foundations of Data Science 数据科学基础

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Herstatt Bank

As mentioned in the previous section, the collapse of the Bretton Woods System led to the implementation of a floating exchange rate system. This new system was at the root of the incident leading to the creation of the Basel Committee on Banking Supervision (Schenk 2014).

Indeed, on 26 June 1974 , German regulators decided to force the liquidation of the troubled Herstatt Bank. Unfortunately, that day, a number of banks had released payment of Deutsche Marks to Herstatt in Frankfurt in exchange for US Dollars that were to be delivered in New York. The bank was closed at 4:30 p.m. German time, which was equivalent to $10: 30$ a.m. in New York. Because of time zone differences, Herstatt ceased operations between the times of the respective payments and as a consequence the counterparty banks did not receive their USD payments. ${ }^{2}$

Responding to the cross-jurisdictional implications of the Herstatt issue, the G-10 introduced before joined by Luxembourg and Spain, formed a standing committee under the auspices of the Bank for International Settlements located in Basel, nowadays refereed to as the Basel Committee on Banking Supervision. This committee comprises representatives from central banks and regulatory authorities of the aforementioned countries.

The failure of the Herstatt Bank (Mourlon-Druol 2015) was the triggering factor that led to the worldwide implementation of real-time gross settlement systems, in order to ensure that payments between banks were executed in real-time and considered final and the works were coordinated by the Basel Committee on Banking Supervision. The continuous linked settlement platform was released 30 years later in 2002 . This payment versus payment process enables member banks to trade foreign currencies without assuming the settlement risk associated with the process, whereby a counterparty could fail before delivering their leg of the transaction.

Once the Basel Committee had been created to tackle issues, it was only a matter of time before a first set of rules were released.

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Basel I

In 1988, the Basel Committee on Banking Supervision (BCBS) in Basel, Switzerland, published a set of minimum capital requirements for banks referred to as the 1988 Basel Accord or Basel I (BCBS 1988), and was enforced by law in the countries members of the G-10 in 1992. The accord primarily focused on credit risk and appropriate risk-weighting of assets. Assets of banks were grouped in five categories according to credit risk respectively carrying risk weights of $0 \%$ (for example, cash, bullion, home country debt like Treasuries), $20 \%$ (securitisations such as mortgage-backed securities (MBS) with the highest AAA rating), $50 \%$ (municipal revenue bonds, residential mortgages), 100\% (for example, most corporate debt), and some assets given no rating. Banks with an international presence are required to hold capital equal to $8 \%$ of their risk-weighted assets (RWA) (Cooke Ratio). The elements that banks have to take into account are: (1) The tier 1 capital ratio = tier 1 capital/all RWA; (2) The total capital ratio $=($ tier $1+$ tier $2+$ tier 3 capital)/all RWA; (3) Leverage ratio $=$ total capital/average total assets. It appears necessary here to define tiers 1,2 , and 3 capital. Tier 1 capital represents the core capital, i.e., common stock and disclosed reserves (or retained earnings), and non-redeemable non-cumulative preferred stock. Tier 2 capital represents the “supplementary capital”, i.e., undisclosed reserves, revaluation reserves, general loan-loss reserves, hybrid capital instruments, and subordinated debt. Tier 3 capital mainly consists of short-term subordinated debt.

Furthermore, banks were also required to report off-balance sheet items such as letters of credit, unused commitments, and derivatives. These assets were all supposed to factor into the risk weighted assets. Then the reports were submitted to the pertaining regulatory body for supervisory purposes.

Since 1988 this framework has been progressively introduced in G-10 countries, comprising 13 countries as of 2013: Belgium, Canada, France, Germany, Italy, Japan, Luxembourg, Netherlands, Spain, Sweden, Switzerland, United Kingdom, and the USA. Eventually, most countries adopted the principles prescribed under Basel I, though the enforcement level of these principles was varying from an implementing country to another. During the period of Basel I enforcement the various market and operational risk incident led the various stakeholders to question the extend of the relevance of the accord. The thoughtful process led to the release of a subsequent accord, usually referred to as Basel II.

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Basel II

Basel II is the second of the Basel Accords which were recommendations on financial regulations issued by the Basel Committee on Banking Supervision. Initially released in June 2004 (Decamps et al. 2004), Basel II intended to amend international standards that controlled how much capital banks were required to

hold to survive the occurrence of financial and operational risks. These rules were supposed to ensure that the amount of capital banks needed to hold was consistent with the exposure faced by the regulated financial institutions in order to safeguard their solvency and economic stability. Therefore, Basel II established risk management and capital requirements to ensure that banks had appropriate risk controls and adequate capital amount for the risk the banks expose themselves to through their lending, investment, and trading activities. The renewed accords were also supposed to bring some consistency between the various pieces of regulation to limit competitive inequality and regulatory arbitrage among and between internationally active banks.

Basel II was supposed to be implemented in the years prior to 2008 though the large number of measures required to be compliant with the regulation delayed the roll-out, and consequently the subprime crisis hit the banks before Basel II could be fully effective.
Basel II accord objectives are as follows:

• Ensuring that capital allocation is more risk sensitive;
• Enhancing disclosure requirements which would allow market participants to assess the capital adequacy of an institution;
• Ensuring that credit risk, operational risk, and market risk are quantified based on data and formal techniques;
• Attempting to align economic and regulatory capital more closely to reduce the scope for regulatory arbitrage. ${ }^{3}$

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Herstatt Bank

Herstatt 银行的失败 (Mourlon-Druol 2015) 是导致全球实施实时全额结算系统的触发因素，以确保银行之间的支付实时执行并被视为最终和工程由巴塞尔银行监管委员会协调。连续联动结算平台于30年后的2002年发布。这种付款对付款流程使成员银行能够在不承担与流程相关的结算风险的情况下进行外币交易，因此交易对手可能在交付交易之前失败。

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Basel I

1988 年，位于瑞士巴塞尔的巴塞尔银行监管委员会 (BCBS) 发布了一套被称为 1988 年巴塞尔协议或巴塞尔 I (BCBS 1988) 的银行最低资本要求，并在成员国法律中得到执行1992 年的 G-10。该协议主要关注信用风险和适当的资产风险加权。银行资产按信用风险分为五类，分别承担风险权重0%（例如，现金、金条、国库券等本国债务），20%（证券化，例如具有最高 AAA 评级的抵押贷款支持证券 (MBS)），50%（市政收入债券、住宅抵押贷款）、100%（例如，大多数公司债务），以及一些没有评级的资产。拥有国际业务的银行必须持有相等于8%他们的风险加权资产（RWA）（库克比率）。银行必须考虑的要素有： (1) 一级资本比率=一级资本/所有风险加权资产；（二）总资本比例=(等级1+等级2+三级资本）/所有风险加权资产；(3) 杠杆率=总资本/平均总资产。这里似乎有必要定义层 1,2 和 3 资本。一级资本代表核心资本，即普通股和披露储备（或留存收益），以及不可赎回的非累积优先股。二级资本代表“补充资本”，即未披露准备金、重估准备金、一般贷款损失准备金、混合资本工具和次级债务。三级资本主要包括短期次级债。

## 金融代写|量化风险管理代写Quantitative Risk Management代考|Basel II

• 确保资本配置对风险更加敏感；
• 加强披露要求，使市场参与者能够评估机构的资本充足率；
• 确保基于数据和形式化技术对信用风险、操作风险和市场风险进行量化；
• 试图更紧密地协调经济和监管资本，以减少监管套利的范围。

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## MATLAB代写

MATLAB 是一种用于技术计算的高性能语言。它将计算、可视化和编程集成在一个易于使用的环境中，其中问题和解决方案以熟悉的数学符号表示。典型用途包括：数学和计算算法开发建模、仿真和原型制作数据分析、探索和可视化科学和工程图形应用程序开发，包括图形用户界面构建MATLAB 是一个交互式系统，其基本数据元素是一个不需要维度的数组。这使您可以解决许多技术计算问题，尤其是那些具有矩阵和向量公式的问题，而只需用 C 或 Fortran 等标量非交互式语言编写程序所需的时间的一小部分。MATLAB 名称代表矩阵实验室。MATLAB 最初的编写目的是提供对由 LINPACK 和 EISPACK 项目开发的矩阵软件的轻松访问，这两个项目共同代表了矩阵计算软件的最新技术。MATLAB 经过多年的发展，得到了许多用户的投入。在大学环境中，它是数学、工程和科学入门和高级课程的标准教学工具。在工业领域，MATLAB 是高效研究、开发和分析的首选工具。MATLAB 具有一系列称为工具箱的特定于应用程序的解决方案。对于大多数 MATLAB 用户来说非常重要，工具箱允许您学习应用专业技术。工具箱是 MATLAB 函数（M 文件）的综合集合，可扩展 MATLAB 环境以解决特定类别的问题。可用工具箱的领域包括信号处理、控制系统、神经网络、模糊逻辑、小波、仿真等。