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....
When I lived in New York City – for most of my 20s – I remember a Thai dinner with a university friend who moaned about the demise of her most recent relationship. Her complaint, oddly enough, was not that her boyfriend had cheated on her. She was...
After three years in office, Jaime Caruana is to step down as chairman of the Basel Committee on Banking Supervision. Since May 2003, he has divided his time between Basel in Switzerland, where he oversaw the completion of the Basel II capital adequacy...
Netherlands Bank president Nout Wellink will succeed Jaime Caruana as chairman of the Basel Committee on Banking Supervision.
As an American living in London, I've been acutely aware of the differences a small body of water can make to people's perceptions on certain issues.
Ellen Davis talks to Danièle Nouy, chair of the Committee of European Banking Supervisors about the CRD, Pillar III and divergence, along with other issues currently occupying the CEBS
Op risk programmes are no longer just about Basel II, according to the latest OR&C Intelligence survey. Ellen Davis reports
Op risk managers are taking an integrated approach to the two thorns in their side – Basel II and SOX – writes Choongo Moonga
The US notice of proposed rulemaking (NPR) has finally been published.
Minh-Tri Nguyen and Martin Ottmann aim to quantify op risk with multi-stage curve fitting and extreme value theory applied with the loss distribution approach
Well, has Basel II finally ridden off the rails in the US? This seems to be the case. The inclusion of a new study on Basel II, to be conducted by the General Accounting Office, does rather seem to threaten the timetable that the US regulators announced...
Accessing operational risk is vital for any bank that wants to reach Basel II compliance.
Regulators have earned mixed reviews on Basel II implementation. By Protiviti's Angela Isaac and Cem Baydar
As US banking regulators debate how much of the spirit of Basel II should be applied to small and medium-sized financial institutions, the banks themselves are stuck in no-man's land. Will 'Basel 1A' bring more certainty or more argument? John Ferry reports
In lighter, sillier moments down the pub, when we were thinking about what to rename the magazine to help it better reflect the industry's evolution and its content, we went through some rather daft combinations.
The new Basel II capital rules will encourage smaller banks to invest in riskier assets, according Peter Plaut, a managing director in fixed income research at Bank of America in New York.
The recovery in Japan’s banking sector means that country’s banks are closer to meeting the minimum capital adequacy requirements of Basel II than was anticipated even 12 months ago. However, challenges remain, particularly with regards to data. By...
The Operational Risk Subgroup of the Basel Committee Accord Implementation Group (AIGOR) has released further guidance on how banks can adequately capture expected losses (EL) in their business practices.
SINGAPORE – An executive from the Australian Prudential Regulatory Authority (Apra) defended the supervisor's decision to dramatically modify its approach to the Basel II standardised approach in a discussion paper released at the end of July.
The European Union's Markets in Financial Instruments Directive is set for implementation in April 2007. But there's plenty of confusion as to what the new regulations will entail – particularly with regards to 'best execution'. By Hann Ho
Algorithmics, the Toronto-based risk management software company, is to help run a planned Europe-wide credit data service.
SINGAPORE – The Monetary Authority of Singapore published a consultation paper that outlines proposed rules and guidelines on parts of its Basel II implementation programme in August.