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
Sfr270 million transaction by Credit Suisse and Zurich thought unlikely to be copied due to SMA
Effective risk management is more important than what your organisational chart looks like
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
Operational risk managers say idea is too formalised and beset by implementation challenges
Benefits of initial margin also overstated, new research finds
Guidelines would cut the large exposure due diligence threshold to 2%, versus the 5% Basel standard
Some banks' pricing already assumes rule will be watered down
FRTB model approval regime dogged by confusion and controversy
UK regulator said to have concerns about the high volume of simultaneous approval requests
Basel Committee working on sovereign risk, but eurozone has most at stake
Banks are turning their attention to calculating a new derivatives valuation adjustment
Political and prudential risks in huge bond-holdings force experts to consider new ideas
FDIC rebuffs European calls to allow netting of client clearing margin in leverage exposure measure
Banks argue valuation adjustments should be left out of the model approval process
Sponsored survey analysis: Oracle Financial Services
The step-in risk concept may need a total overhaul to be fit for purpose as the UK goes its own way