{
  "lesson": "regulation-basel.md",
  "review_date": "2026-09-19",
  "source_document": {
    "filename": "JA252.6 Notes-1.pdf",
    "title": "Regulation and Basel III / IV",
    "author": "Jon Gregory",
    "date": "2025-03-04",
    "pages": 86,
    "distribution": "User-supplied teaching material; original PDF and slide images excluded from repository",
    "sha256": "f563e2036db4d73c3cca92ec34701f8eee841b61c490050eedaf108895920b8d"
  },
  "coverage": {
    "5-15": "Rationale, balance sheet, capital and liquidity",
    "17-23": "Risk types and economic capital",
    "25-35": "BCBS, pillars, RWA, capital, leverage and methodologies",
    "37-41": "LCR and NSFR; historical bank snapshots replaced by hypothetical examples",
    "43-55": "Credit capital, conditional default, ASRF and IRB",
    "61-68": "Ratings, transition matrices, expected loss and Euler allocation",
    "69-86": "Reference screenshots replaced by direct official standards"
  },
  "official_sources": [
    {
      "id": "RBC20",
      "url": "https://www.bis.org/committees/bcbs/basel-framework/standard/rbc/20/inforce/2023-01-01/published/2020-11-26",
      "supports": "Capital minima and aggregate output floor"
    },
    {
      "id": "RBC30",
      "url": "https://www.bis.org/committees/bcbs/basel-framework/standard/rbc/30/inforce/2019-12-15/published/2019-12-15",
      "supports": "Capital buffers"
    },
    {
      "id": "LEV20",
      "url": "https://www.bis.org/committees/bcbs/basel-framework/standard/lev/20/inforce/2023-01-01/published/2020-03-27",
      "supports": "Tier 1 leverage ratio"
    },
    {
      "id": "LCR20",
      "url": "https://www.bis.org/committees/bcbs/basel-framework/standard/lcr/20/inforce/2019-12-15/published/2022-12-08",
      "supports": "LCR normal-time threshold and buffer use"
    },
    {
      "id": "LCR40",
      "url": "https://www.bis.org/committees/bcbs/basel-framework/standard/lcr/40/inforce/2019-12-15/published/2023-03-30",
      "supports": "Stressed outflows and 75% aggregate inflow cap"
    },
    {
      "id": "NSF20",
      "url": "https://www.bis.org/committees/bcbs/basel-framework/standard/nsf/20/inforce/2019-12-15/published/2019-12-15",
      "supports": "NSFR horizon and threshold"
    },
    {
      "id": "CRE31",
      "url": "https://www.bis.org/committees/bcbs/basel-framework/standard/cre/31/inforce/2023-01-01/published/2020-03-27",
      "supports": "Corporate IRB risk weight functions"
    },
    {
      "id": "MAR33",
      "url": "https://www.bis.org/committees/bcbs/basel-framework/standard/mar/33/inforce/2023-01-01/published/2020-06-05",
      "supports": "ES-based market risk internal models"
    },
    {
      "id": "OPE25",
      "url": "https://www.bis.org/committees/bcbs/basel-framework/standard/ope/25/inforce/2023-01-01/published/2024-07-05",
      "supports": "Revised standardised operational-risk approach"
    },
    {
      "id": "IRB explanatory note",
      "url": "https://www.bis.org/bcbs/irbriskweight.pdf",
      "supports": "ASRF model assumptions"
    },
    {
      "id": "BCBS final reforms",
      "url": "https://www.bis.org/publications/201712-standards-basel-iii-finalising-post-crisis-reforms",
      "supports": "Finalising Basel III and replacing legacy operational risk approaches"
    }
  ],
  "corrections_and_clarifications": [
    "PDF page54 has sqrt(1-rho^2); use sqrt(1-rho) consistent with latent asset-correlation model and CRE31.",
    "PDF page54 PD(99.9%) values 3.78%/17.86% are stressed PD minus ordinary PD, not stressed PD itself.",
    "Separate loss quantile from unexpected loss above EL; do not subtract EL twice.",
    "NSFR uses >=100%, not >100%.",
    "CCyB is jurisdiction-dependent, generally 0-2.5% within the framework and may exceed that range; not fixed2.5%.",
    "4.5/6/8% minima are nested; separate AT1 1.5% and Tier2 2% issuance not mandatory.",
    "Common equity is equity, not accounting liabilities; regulatory capital is not a stock of cash.",
    "Euler risk contribution includes exposure weight times marginal derivative.",
    "Legacy operational methodology menu and bank/deposit-insurance snapshots not presented as current rules."
  ],
  "hypothetical_examples": {
    "capital": {
      "currency_unit": "million THB",
      "cet1": 60,
      "at1": 10,
      "tier2": 20,
      "rwa": 600,
      "leverage_exposure": 1000,
      "capital_buffer_scope": "conservation buffer only; other buffers excluded"
    },
    "floor": {
      "pre_floor_rwa": 400,
      "standardised_rwa": 800,
      "floor": 0.725,
      "effective_rwa": 580,
      "scope": "aggregate illustration at fully phased-in reference; not a claim of current local implementation"
    },
    "lcr": {
      "hqla": 120,
      "outflows": 160,
      "inflows": 60,
      "net_outflows": 100,
      "ratio": 1.2,
      "cap": 0.75,
      "scope": "inputs already eligible/weighted, no special exemptions"
    },
    "nsfr": {
      "asf": 575,
      "rsf": 605,
      "after_funding_shift_asf": 625,
      "weights": "Assigned purely to illustrate arithmetic, not a regulatory classification lookup"
    },
    "irb": {
      "pd": 0.01,
      "lgd": 0.45,
      "maturity": 2.5,
      "ead": 100,
      "confidence": 0.999,
      "model": "Nondefaulted non-SME corporate, no financial institution correlation multiplier",
      "capital_rate": 0.07385344111364114,
      "rwa": 92.31680139205143,
      "omitted": "historical1.06, input eligibility checks/floors except UI range, output floor, buffers, provisions comparison and model permission"
    },
    "source_examples_recomputed": [
      {
        "pd": 0.0012,
        "lgd": 0.6,
        "maturity": 5,
        "stress_pd": 0.038952209632398815,
        "capital_rate": 0.05599330043484108
      },
      {
        "pd": 0.023,
        "lgd": 0.45,
        "maturity": 5,
        "stress_pd": 0.2015945232899462,
        "capital_rate": 0.12076398455928555
      }
    ]
  },
  "visual_production": {
    "route": "no-image-generator",
    "design_system": "QuantCorner / QuantSeras; existing light book with purple/teal and optional dark theme",
    "method": "Original deterministic SVG data charts with embedded existing local Roboto fonts, React controls using existing UI primitives",
    "image_generator_used": false,
    "third_party_visuals_added": false,
    "source_script": "scripts/make_basel_figures.py",
    "assets": [
      "assets/images/basel-capital.svg",
      "assets/images/basel-liquidity.svg",
      "assets/images/basel-irb.svg"
    ]
  },
  "reproducibility": {
    "randomness": "No random sampling in primary charts or labs; deterministic formulas",
    "python": "Python standard library statistics.NormalDist",
    "javascript": "Existing normal CDF/quantile helpers; cross-language checks",
    "notebook_generator": "scripts/make_basel_notebook.py",
    "math_checks": "qa/basel-checks.mjs",
    "browser_checks": "qa/basel-page-checks.cjs"
  }
}