A new product could smoothe the gap between capital and accounting rules
Banks insist credit risk approach can be fixed - and remains more sensitive than stress tests
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More Basel ii articles
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.
Insurance against cyber risk is a growing market, but doubts remain over its effectiveness
The experience of the 2008 crisis shows that leverage ratios are better warning signs than more complex measures such as capital ratios
Central bank to study need for counter-cyclical buffer in a developing economy
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. Othe...
Basel III sovereign cap creates internal model headache for Malaysian banks
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.