Richard Martin and Dirk Tasche show that the expected shortfall, when used in the conditional independence framework, has an elegant decomposition into systematic (risk-factor-driven) and unsystematic parts. The theory is compared and contrasted with...
Just what are the world's regulators doing to help move forward the discussion around operational risk?
When it comes to AML initiatives, companies are displaying a worrying disregard for the perils of this criminal threat, despite recognising it as such. By Ellen Davis
HKMA issues a supervisory policy manual (SPM) on the “Use of Internal Models Approach to Calculate Market Risk”.
Basel II was key driver behind over €100 billion of collateralised debt issuance in EMEA.
JP Morgan Chase has set out to US regulators what it considers to be the main operational concerns over the interagency notice of proposed rulemaking (NPR) to implement a new risk-based capital framework based on Basel II.
DnB NORD selects FinArch's Financial Studio for global Basel II compliance.
Four industry bodies have issued a joint letter commenting on the supervisory agencies’ notice of proposed rulemaking on market risk.
Citigroup, JP Morgan, Washington Mutual and Wachovia air their Basel II complaints to the National Economic Council.
Bank become first in UK to gain approval
A new Standard & Poor’s report ‘Assessment Of The Basel II Framework: Incentive To Securitize Corporate Exposures Remains’ has found that the introduction of Basel II is unlikely to translate into reduced securitization of corporate exposures.
SEB internal credit risk models approved by Swedish Financial Supervisory Authority
IRA has released Q3 2006 Economic Capital, Basel II and financial performance indicators for all US banks
HSBC North America Holdings voices its opposition to the Basel II proposal
A new KPMG survey shows the revised Indian deadline of March 2009 should boost Basel II take-up
A recent research task force project reviews the impact of credit risk on levels of bank distress
Speaking at the Institute for International Bankers Seminar the Governor sought to highlight recent US Basel II compliance developments
MAS set out their fourth consultation on Basel II and its requirements
Daniele Nouy speaks about the Committee's latest work on the Basel Accord
International banking regulators, meeting in Mexico, have endorsed 25 updated Basel core principles for effective banking supervision.
This months OR&C Intelligence survey suggests that firms are preparing to buy into ERM but there are concerns that the change may not happen. Ellen Davis reports
Complaints are reaching me about the way in which the US regulators have released the notice of proposed rulemaking (NPR). My sources point out that the advance notice of proposed rulemaking – released way back in those halcyon days of August 2003 –...
Low-default portfolios are a key Basel II implementation challenge, and various statistical techniques have been proposed for use in PD estimation for such portfolios. To produce estimates using these techniques, typically Monte Carlo simulation is required....