Scenario analysis is a valid risk measurement tool but it must be used carefully
Uncollateralised trades will consume up to four times more capital under Basel III, dealers say. If that translates into a similar jump in pricing, corporates believe they may have to hedge less. Michael...
While NordLB’s Carsten Steinhoff values his bank’s op risk model and is pleased with its development, he places just as much emphasis on the less-quantifiable aspects of risk management – scenarios,...
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
More US banks expected to employ AMA, while new stress-testing proposals increase interest in operational risk quantification among smaller banks
The Australian banking regulator has proposed the country’s banks meet new Basel III capital and liquidity rules two years ahead of G-20 commitments. The proposal has drawn immediate criticism from the Australian Bankers’ Association
After initially embracing CoCos, regulators’ ardour seems to have cooled – with some banks fearing excess caution could limit a promising source of bank capital. But even without a further supervisory push, investor demand for bail-in protection can...
Basel III has incorporated credit valuation adjustment (CVA) in calculations of regulatory capital for counterparty credit risk (CCR). CVA appears via a completely new CVA capital charge and a downward adjustment of exposure-at-default. In this article,...
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.
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