The internal ratings-based (IRB) approach has been in intensive care for the past year. Now, one of the world’s most senior supervisors wants to pull the plug, but bank risk managers argue that – with...
Backtesting is an essential component of the implementation and operation of any risk model. As perhaps the most well-known market risk metric, value-at-risk (VaR) has received regulatory, industry and...
More Basel ii articles
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.
In this issue of The Journal of Credit Risk we present 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......
Cyber risk is a new and rapidly developing threat, and this means that risk transfer through insurance, helpful in other areas of operational risk, is of only limited use as a defence against it
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
UK, 18th Mar 2015
Australia, 12th - 13th Aug 2014
Australia, 14th Aug 2014
USA, 20th - 21st Aug 2014