Basel 2.5
Stress test struggle: separating liquidity and market risks
Original headline:
Source: Risk magazine
The financial crisis has been marked by episodes of extreme illiquidity, affecting everything from collateralised debt obligations to government bonds, but there has been little attempt to reflect these...
Published online only
Source: Risk magazine
Review recommends switch to expected shortfall, postpones CVA charge overhaul, and retains split between banking and trading books
Original headline:
Source: Risk magazine
The Basel Committee is keeping an eye on Basel III implementation, led by its standards implementation group. Nick Sawyer talks to Ryozo Himino, chair of the group, about the monitoring of timelines, consistency...
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More Basel 2.5 articles
Credible capital: regulators prepare to tackle RWA divergence
Original headline:
Source: Risk magazine
The credibility of bank capital has been called into question by the wildly differing risk-weighted asset (RWA) numbers produced by bank models – and the Basel Committee is preparing to launch an investigation. But RWA differences spring from multiple...
Basel 2.5 caused €200 billion jump in RWAs
Published online only
Source: Risk magazine
European banks saw their RWAs leap at the turn of the year, as new trading book rules collided with the EBA's call to achieve a 9% capital minimum
Quants weigh up VAR's flawed alternatives
Original headline:
Source: Risk magazine
The Basel Committee will consider ditching value-at-risk as the basis for trading book capital, but an obvious alternative, expected shortfall, has problems of its own. Laurie Carver reports
Beyond Basel 2.5: regulators prepare trading book review
Original headline:
Source: Risk magazine
The Basel Committee is planning to launch its long-awaited review of trading book capital rules within the next few months. It could redefine the boundaries of the trading book, seek to reflect market liquidity and also overhaul the current patchwork...
Asia lukewarm on European banking asset sell-off
Original headline:
Source: Asia Risk
A combination of market and regulatory pressures is forcing European banks to deleverage their balance sheets and offload some of their asset portfolios, creating a potential opportunity for Asian financial institutions. But do they want to take it?
Ambition of Basel's trading book review has faded, sources say
Published online only
Source: Risk magazine
Patchwork of risk measures - including standalone CVA charge - may be left intact
RWA probe could cut modelling flexibility, says new Basel chief
Published online only
Source: Risk magazine
A stricter approach to the modelling of bank capital is "high likely", as a result of concerns that risk-weighted asset numbers are too divergent
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