Gerd Häusler, director of the international capital markets department at the International Monetary Fund (IMF), today highlighted that too little is known about where credit risk ultimately resides in the financial system.
Peter-Paul Hoogbruin, Harmenjan Sijtsma and Viktor Tchistiakov of ING Group Credit Risk Management present a framework for valuing securitisation tranches from an investor’s perspective.
Can a firm cut costs while increasing operational risk controls? This is just one of the many challenges facing the investment industry.
In a mark-to-market approach to credit risk capital, ratings or spread volatility has the effect of making longer-maturity loans more capital-intensive. This is incorporated in the current Basel II proposals via a maturity adjustment factor. Arguing that...
The increasing popularity of VAR-based credit portfolio risk models has led to a growing recognition that Monte Carlo techniques are inadequate for economic capital calculations. Here, Michael Pykhtin and Ashish Dev present a new analytical alternative...
London - The results of a survey by global banking regulators of banks’ operational loss experience support arguments against using capital charges as the main protection against operational losses in fund management and broker activities. This is the...
The Basel Committee’s op risk proposals threaten to damage European investment firms, says Angela Knight. She calls for a broader review of the problems.
Critics of the European Union's plans to make all investment firms - not just banks - set aside capital against the risk of losses from operational hazards such as fraud, computer breakdowns and trade settlement failures, say their fears were confirmed...
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