capital and subordinated debt, plus bonds issued in the capital markets. The bank's main resources are retail deposits and wholesale debt. The purpose of the example is to determine whether the initial balance sheet is Basel 3 compliant and what are the required changes to make it compliant.
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1
Knight, F. H. (1921), Risk, Uncertainty and Profit, New York.
2
The definition is from the Basel 2 document (2006), [21].
3
The fund transfer pricing system is addressed in Chapter 10 the risk allocation issue is discussed in Chapter 27 and risk-adjusted performance is discussed in Chapters 10 and
Basel Committee on Banking Supervision (1988), International convergence of capital measurement and capital standards, [17].
5
There are numerous papers on the liquidity crunch of 2008. See, for example, Brunnermeier, M. K. (2009), Deciphering the liquidity and credit crunch 2007–2008, [39], and Brunnermeier, M. K., Pedersen, L. H. (2009), Market liquidity and funding liquidity, [40].
6
See, for example, Laux, C., Leuz, C. (2010), Did fair-value accounting contribute to the financial crisis?, [89].
7
On so-called “liquidity spirals”, see Brunnermeier, M. K. (2009), Deciphering the liquidity and credit crunch 2007–2008, [39].
8
See Longstaff, F. A. (2010), The subprime credit crisis and contagion in financial markets, [94].
9
See “Addressing systemic risk and interconnectedness”, paragraph 32 of the 2010 Basel 3 document [24]. Systemic risk is addressed in the literature: see Arnold, B., Borio, C., Ellis, L., Moshirian, F. (2012), Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy [14]; or Nijskens, R., Wagner, W. (2011), Credit risk transfer activities and systemic risk: How banks became less risky individually but posed greater risks to the financial system at the same time [111].
10
Sources on leverage and liquidity include Acharya, V. V., Viswanathan, S. (2011), Leverage, moral hazard, and liquidity, [2], and Adrian, T., Shin, H-S. (2010), Liquidity and leverage, [4].
capital and subordinated debt, plus bonds issued in the capital markets. The bank's main resources are retail deposits and wholesale debt. The purpose of the example is to determine whether the initial balance sheet is Basel 3 compliant and what are the required changes to make it compliant.