What Is Basel III?
Basel III is a global regulatory standard on bank capital adequacy, stress testing, and market liquidity risk. It requires banks to use quantitative methods for risk projection and economic capital forecasting, and report results across the organization. Basel III is the third set of reform measures agreed upon by the Basel Committee on Banking Supervision.
Compared with Basel II, Basel III introduced additional regulatory requirements and revised risk calculation methodologies in many areas, including:
Common tasks associated with Basel III compliance include:
- Monte Carlo simulation, including the use of copula methods for credit portfolio simulation
- Scenario analysis and stress testing
- Econometrics for procyclical and countercyclical analysis
- Asset-liability modeling
- Parallel and GPU computing for time-efficient simulation and parameter identification
- Automated reporting
Examples and How To
See also: risk management, credit risk, liquidity risk, operational risk, risk management videos, Solvency II, value-at-risk, conditional value-at-risk, CECL with MATLAB, Basel IV, fraud analytics, MathWorks Modelscape Governance, MathWorks Modelscape Deploy, Modelscape