Main Differences Among Basel I, Basel II And Basel III?

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1. What are the main differences among Basel I and Basel II and Basel 2,5 and Basel III?
Answer:
Difference between Basel I and Basel II: Basel II impose new minimum capital requirements for credit and operational risk. Risk weights based on either external credit rating or a bank’s own internal credit rating. Recognition of credit risk mitigates. Separate capital charge for operational risk.

Difference between Basel II and Basel 2.5: Basel 2.5 imposed stressed VaR for market risk, incremental risk charge, and comprehensive risk measure.

Difference between Basel 2.5 and Basel III: Basel III introduced capital definition and requirements, capital conservation buffer, countercyclical buffer, leverage ratio, liquidity ratios and capital for CVA risk.

2. Explain the main difference between HS (Historical Simulation) and WHS (Weighted Historical Simulation). Why is WHS needed? (8
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For example, , .

Probability | Z | | Probability | Z | | 0.900 | 1.28155 | 1.39682 | 0.950 | 1.66456 | 1.85955 | 0.902 | 1.29303 | 1.41075 | 0.952 | 1.68494 | 1.88610 | 0.904 | 1.30469 | 1.42493 | 0.954 | 1.70604 | 1.91373 | 0.906 | 1.31652 | 1.43937 | 0.956 | 1.72793 | 1.94254 | 0.908 | 1.32854 | 1.45409 | 0.958 | 1.75069 | 1.97264 | 0.910 | 1.34076 | 1.46910 | 0.960 | 1.77438 | 2.00415 | 0.912 | 1.35317 | 1.48440 | 0.962 | 1.79912 | 2.03723 | 0.914 | 1.36581 | 1.50001 | 0.964 | 1.82501 | 2.07204 | 0.916 | 1.37866 | 1.51596 | 0.966 | 1.85218 | 2.10880 | 0.918 | 1.39174 | 1.53224 | 0.968 | 1.88079 | 2.14774 | 0.920 | 1.40507 | 1.54889 | 0.970 | 1.91104 | 2.18915 | 0.922 | 1.41865 | 1.56592 | 0.972 | 1.94313 | 2.23339 | 0.924 | 1.43250 | 1.58335 | 0.974 | 1.97737 | 2.28088 | 0.926 | 1.44663 | 1.60120 | 0.976 | 2.01409 | 2.33215 | 0.928 | 1.46106 | 1.61950 | 0.978 | 2.05375 | 2.38790 | 0.930 | 1.47579 | 1.63827 | 0.980 | 2.09693 | 2.44898

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