Basel ii
Cutting Edge introduction: risky contributions
Original headline:
Value-at-risk is usually calculated via Monte Carlo simulation, making it difficult to see the contributions from different risks. But in some circumstances approximate formulas can be derived that greatly...
Original headline:
Op risk managers could make themselves much more valuable to the business by reporting the links between risk indicators and capital levels, Marcelo Cruz writes
Original headline:
Banks are gearing up to meet strict new Basel III rules on counterparty credit risk, including a new charge for credit value adjustment, as well as the Basel 2.5 package of market risk capital amendments....
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More Basel ii articles
Profile: OCC's Walsh on Volcker rule leaks, Dodd-Frank divergence and...
Original headline:
The US Office of the Comptroller of the Currency has been working closely with other US supervisors to draw up new regulation related to the Dodd-Frank Act – but the various agencies don’t always see eye to eye on how best to proceed. Acting comptroller...
Review of 2011: collateral, capital and chaos
Original headline:
Whether pricing a plain vanilla swap or agreeing to raise the US debt ceiling, apparently simple acts proved surprisingly difficult this year. Risk magazine staff look back at some of the year’s big stories
Using credibility analysis in operational risk measurement
Original headline:
Marcelo Cruz discusses the use of the credibility theory to aggregate different types of operational risk data
Eksportfinans faces collateral questions following downgrade
Published online only
Junk-rated export lender says it has enough reserve liquidity to meet obligations while it is being wound up - but dealers are not convinced
Revised capital rules undermine OTC client clearing, dealers say
Original headline:
Central clearing for over-the-counter derivatives could be jeopardised by draft capital rules that encourage banks to clear, but discourage them from providing intermediary services to other derivatives users. This client clearing business needs support,...
OCC seeking change to rating ban in Dodd-Frank, reveals Walsh
Published online only
Banking regulator talking to Congress about altering the Dodd-Frank Act to allow a limited use of credit ratings
Video: New York Fed’s Marc Saidenberg denies US go-slow on Basel II...
Published online only
The US is introducing Basel II at a similar pace to international peers and is also committed to timely implementation of Basel III, according to Marc Saidenberg, senior vice-president of bank supervision at the New York Fed, who warns of the dangers...
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