Basel Committee on Banking Supervision (BCBS)
Quantitative models were unfairly criticised in the aftermath of the financial crisis, says legendary quant and co-creator of the Black-Scholes equation, but there’s plenty for quants to work on i...
Readers of Risk.net vote two to one against the Basel Committee's new-found distrust of internal capital modelling
A new consultation paper on risk management practices in the FX market will be released in the third quarter – and may be published as early as this month
More Basel Committee on Banking Supervision (BCBS) articles
Working group publishes proposed margin rules for uncleared trades – bringing global rules in line with an earlier US proposal
The origins of CVA
Banks and CCPs are pressing for changes to method of calculating default fund capital
Poll on Basel Committee proposal to ditch VAR attracts close to 1,000 votes - with a narrow victory for critics of the metric
Under one accord
Banco de España is one of a number of European supervisors allowing its banks to ignore a Basel 2.5 requirement to model default risk on government bonds
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.