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Parliamentarian hits back at European Commissioner's criticism of Basel model floors
European Commissioner rejects model floors that US regulators have already imposed
Banks uncover hidden challenges of data, computing power and need for joined-up approach
BoE and EC concerned about repo liquidity, but Basel Committee unlikely to budge
Lew faces questions in Congress over FSB impact on US banks and markets
Banks cannot wait for clarification but must forge ahead
Repo, collateral and legal entities pose obstacles to liquidity reporting, say panellists at event
Differing discount methods and EVE approach will need explaining to investors
Conference hears claims of an EC change in the treatment of derivatives
Sponsored feature: CompatibL
Firms hope to leave out non-modellable risk factors deemed "immaterial"
Supervisor warns conference banks will need to shape up their Ilaap responses for 2017
Sponsored feature: Murex
Sponsored feature: Quaternion Risk Management
Impact studies showing significant capital increase prompted committee rethink
This issue contains four technical papers. Two of which deal with an analysis of the SMA, one paper deals with data and another tackles statistical issues around the quantification of operational risk.
Comments on the Basel Committee on Banking Supervision proposal for a new standardized approach for operational risk
In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly.
Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
This paper discusses and studies the weaknesses and pitfalls of the SMA and the implicit relationship between the SMA capital model and systemic risk in the banking sector.
European banks reluctant to rely on complicated exemptions for inter-affiliate trades
Sensitivity-based approach means “we have to do everything twice”, complains one head of trading
Trade and model mismatches will be key tests for vital margin call service
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers