Basel Capital Framework and Risk Modeling
- March 14, 3:00 - 4:30, Hill Center 552
The presentation will first provide an overview of the Regulatory Capital requirement instituted by the Basel Committee of Banking Supervision (BCBS), covering both its historical evolution (from Basel I) and the current status (Basel III). The second part of the presentation will focus on the general modeling techniques required by market risk capital calculation under the Basel framework. This includes VaR, Stressed VaR, Incremental Risk Charge, and Comprehensive Risk Charge.
Wei Zhu, Managing Director, Citi
Wei Zhu is a Managing Director in Citi’s ICG (Institutional Client Group) Risk Analytics group. He heads the Market Risk Analytics team and the Counterparty Risk Analytics Modeling team globally. After joining Citi in 2001, he has been focusing on building quantitative models to capture market risk and counterparty credit risk, for the purpose of both internal risk management and regulatory capital calculation. Wei received his BS in Physics from Fudan University in 1995, and his PhD in Physics from New York University in 2001. He is a CFA charter holder since 2004.