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
Risk would like to invite you to join us on 14 April 2014 at 10am EST / 3pm GMT for our next FREE webinar. Joining the panel discussion will be: Moderator: Duncan Wood, Editor, RISK. Athanassios Diplas, Senior Advisor, ISDA. Barry Hadingham, Head of Derivatives and Counterparty Risk, AVIVA INVESTORS. Neil Murphy, Director, Collateral Product Management, IBM RISK ANALYTICS. Click to register.
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...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
Hong Kong, 1st - 31st Dec 2014
Japan, 24th Apr 2014
Japan, 24th Apr 2014
USA, 30th Apr 2014
USA, 8th - 9th May 2014