A simple model highlights how AMA capital requirements can change dramatically
The experience of the 2008 crisis shows that leverage ratios are better warning signs than more complex measures such as capital ratios
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Basel ii articles
Central bank to study need for counter-cyclical buffer in a developing economy
Dutch bank Rabobank has shaken off its Libor label pretty quickly, leaving it to focus on its co-operative roots, the AMA and its RCSA roll-out. Anne Snel-Simmons, head of operational risk management at Rabobank, talks to OpRisk about the challenges...
This issue of The Journal of Risk includes contributions that enhance our understanding of risk-weighted assets in the context of value-at-risk as well as the estimation of this popular risk measure on the basis of multivariate returns over long holding...
It was the toughest part of Basel III for the US to swallow – a requirement that unrealised gains and losses on some bonds would hit bank capital calculations. In Europe, legislators provided an opt-out – and some countries have already chosen to...
There is a magic number in bank capital rules – 5,000 trades – below which portfolios qualify for a lower margin period of risk. Some dealers are now trying to cut their books down to size. Others claim that’s impossible. Joe Rennison reports
Our fall issue contains a number of innovative papers that we hope are of great interest to our readers. A feature of a number of these papers is that they offer new methodologies with attractive empirical properties. Since these are hard to verify at...
The Fed’s vote on Basel III provides banks with clarity for their capital reserve requirements, but their Basel II compliance for operational risk remains in limbo. US banks are still in parallel run with no clear answers and no clear exit in sight...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
Australia, 5th - 7th Mar 2014
South Africa, 12th - 14th Mar 2014
UK, 12th Mar 2014
UK, 13th - 14th Mar 2014
UK, 13th Mar 2014