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4 results

  1. FINANCE|financial institutions and credit

    #571717

    IATE #2249027
    Modh na Samhla Inmheánaí Reference Faomhadh an téarma seo mar chuid de Thionscadal Lex
    ga
    auf einem internen Modell beruhende Methode
    de
    IMM | internal model method
    en
    Definition method used to calculate the exposure value for transactions that requires approval from supervisory authorities Reference COM-EN based on: - Directive 2006/48/EC relating to the taking up and pursuit of the business of credit institutions (recast); Annex III, Part 6, point 1, CELEX:32006L0048/EN - Basel Committee on Banking Supervision. Consultative Document. The non-internal model method for capitalising counterparty credit risk exposures. June 2013 (rev. 25 July 2013), http://www.bis.org/publ/bcbs254.pdf [10.4.2014]
    Comment The internal model method (IMM) is the most risk-sensitive approach for EAD calculation available under the Basel II Framework. It is intended to provide incentives for banks to improve their measurement and management of counterparty credit risk by adopting practices that are more sophisticated. Under the IMM, both EAD and effective maturity M are computed from the output of a bank’s internal models of future exposure. These models must be approved by the bank’s supervisors for them to become eligible for the IMM. REF: Counterparty Credit Risk: The new challenge for global financial markets. Jon Gregory. John Wiley & Sons, 2010, http://books.google.co.uk/books?id=WZ_vbGGx1z4C&pg=PA319&lpg=PA319&dq=%22Internal+Model+Method%22&source=bl&ots=iC11c1ju4Z&sig=IRkpuquz1tNPFfG1gEzv-SHGR54&hl=en&sa=X&ei=GmZGU7rVEM7jO-_ugDA&ved=0CCsQ6AEwADgU#v=onepage&q=%22Internal%20Model%20Method%22&f=false [10.4.2014]
    IMM | méthode du modèle interne
    fr
    Definition méthode utilisée par un établissement pour calculer la valeur exposée au risque des transactions, sous réserve de l'accord des autorités compétentes Reference COM-FR, d'après la directive 2006/48/CE concernant l'accès à l'activité des établissements de crédit et son exercice (refonte), CELEX:32006L0048/FR
  2. FINANCE|financial institutions and credit

    #585582

    IATE #3556393
    cur chuige na samhlacha inmheánacha Reference Faomhadh an téarma seo mar chuid de Thionscadal Lex
    ga
    IMA | interner Modellansatz
    de
    Internal Model Approach | IMA | Internal Model Method
    en
    Definition approach where banks’ proprietary in-house models are used for the calculation of market risk capital as an alternative to a standardised measurement framework Reference AN INTERNAL MODEL-BASED APPROACH TO MARKET RISK CAPITAL REQUIREMENTS, BIS, http://www.bis.org/ [05.04.2013]
    Comment See also:Supervisory volatility adjustments approach [ IATE:2247647 ]Own Estimates volatility adjustments approach [ IATE:2234461 ]
    approche du modèle interne | AMI | méthode fondée sur les modèles internes
    fr
  3. FINANCE|financial institutions and credit

    #577556

    IATE #3522781
    aibíocht iarbhír faoi mhodh na samhla inmheánaí, do thacar glanluachálacha agus aibíocht os cionn bliana leis Reference Faomhadh an téarma seo mar chuid de Thionscadal Lex
    ga
    Effective Maturity under the Internal Model Method, for a netting set with maturity greater than one year
    en
    Definition ratio of the sum of expected exposure over the life of the transactions in the netting set discounted at the risk‐free rate of return divided by the sum of expected exposure over one year in a netting set discounted at the risk‐free rate Reference Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) CELEX:32006L0048/EN
    Comment This effective maturity may be adjusted to reflect rollover risk by replacing expected exposure with effective expected exposure for forecasting horizons under one year.
    échéance effective selon la méthode du modèle interne d'un ensemble de compensation ayant une échéance supérieure à un an
    fr
    Definition le rapport entre la somme des expositions anticipées sur la durée de vie des transactions relevant d'un ensemble de compensation, actualisée sur la base du taux de rendement sans risque, et la somme des expositions anticipées sur une durée d'un an afférents à cet ensemble de compensation, actualisée sur la base du même taux. Cette échéance effective peut être ajustée afin de tenir compte du risque de refinancement en remplaçant l'exposition anticipée par l'exposition anticipée effective pour des horizons de prévision inférieurs à un an Reference Directive 2006/48/CE du Parlement européen et du Conseil du 14 juin 2006 concernant l'accès à l'activité des établissements de crédit et son exercice (refonte) , http://eur-lex.europa.eu/LexUriServ/LexUriServ.do?uri=CELEX:32006L0048:FR:HTML
  4. FINANCE|financial institutions and credit

    #585556

    IATE #3556255
    modh na samhla neamh-inmheánaí Reference Faomhadh an téarma seo mar chuid de Thionscadal Lex
    ga
    Nicht-IMM
    de
    Definition nicht auf einem internen Modell beruhende Methode Reference COM-DE gestützt auf Richtlinie 2006/48/EG vom 14. Juni 2006 über die Aufnahme und Ausübung der Tätigkeit der Kreditinstitute CELEX:32006L0048/DE
    non-internal model method | NIMM
    en
    Definition method for capitalising counterparty credit risk exposures that is calibrated to a stress period; accurately recognises the benefit of collateral (including margining under central clearing) and is more reflective of legal and economic offsetting than the CEM1 and SM2 1 Current Exposure Method [ IATE:1121413 ] 2 Standardised Method [ IATE:2249075 ] Reference COM-EN based on: - Basel Committee on Banking Supervision. Consultative Document. The non-internal model method for capitalising counterparty credit risk exposures. June 2013 (rev. 25 July 2013), http://www.bis.org/publ/bcbs254.pdf [10.4.2014] - BASEL COMMITTEE ON BANKING SUPERVISION “NON-INTERNAL MODEL METHOD”. Sunguard Capital Markets, http://financialsystems.sungard.com/~/media/fs/capital-markets/resources/white-papers/Adaptiv-BCBS-Non-Internal-Model-Method-QA-Guide-SunGard.ashx?sfdcCampaignId=70150000000ZNuR%2B [10.4.2014]
    Comment The Basel Committee is considering using it to replace both the Current Exposure Method (CEM) and the Standardised Method (SM) in the Basel risk-based capital framework.
    non IMM
    fr
    Definition méthode de mesure des risques de crédit de la contrepartie, calibrée sur une période de tension et tenant compte des sûretés reçues (notamment les appels de marge de contreparties centrales) Reference COM-FR, d'après la définition anglaise
    Comment Cette méthode devrait remplacer les méthodes (non IMM) CEM (méthode de risque courant) et MS (méthode standard) utilisées actuellement.