Data and transparency remain challenges for EBA
Capital requirements incentivise banks and insurers to enhance op risk management
Independent asset management firms catching up with bank- and insurance-owned peers
More Basel II articles
This paper addresses the uncertainty in scenario analysis and produces a combined loss distribution.
After 16 years as our risk analysis columnist, David Rowe looks back at a recurring challenge
Firms doubtful about risk sensitivity of standardised replacement charge
Banks would have to raise equity equal to 0.7% of current levels, ESRB finds
Redesigning rating systems is becoming an important issue for banks and other financial institutions in processing the implementation of the Basel II and III (www.bis.org/bcbs/basel3.htm) accords. The...
Banks insist credit risk approach can be fixed - and remains more sensitive than stress tests
Volume 8, Issue 2 (2014)
The approach to the measurement of credit risk recommended by the new Basel Capital Accord (Basel II) gives a wide choice of basic risk estimators. However, the rules for estimating asset correlations are defined in an ambiguous manner.
Volume 10, Issue 2 of the journal presents two research papers and two technical reports. The first research paper in the issue is "Estimation of risk measures for large credit portfolios" by Johannes Hauptmann, Pablo Olivares and Rudi Zagst. The authors propose a methodology to assess risk measures for portfolio losses in the context of credit risk.
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.