Basel III sovereign cap creates internal model headache for Malaysian banks
More Basel II articles
When estimating loss given default (LGD) parameters using a workout approach, ie, discounting cashflows over the workout period, the problem arises of how to take into account partial recoveries from incomplete...
ORX chairman says Basel II definition is fundamentally flawed
Sigor chair says review focus will be on capital model credibility and comparability
Despite the crisis giving operational risk the recognition it deserves, its value continues to be called into question. Craig Spielmann, head of operational risk at RBS Americas, talks about learnin...
Higher capital requirements would incentivise banks to fix their problems more than fines, says Craig Spielmann at RBS
Paper of the year: JD Opdyke and Alexander Cavallo
We describe a method, based on the Merton model, to improve credit portfolio models by adding to the underlying distributions forward-looking tails deducted through the Bayesian networks technology. Given...
Since the global financial crisis, banking regulators and academics have extended the traditional, narrow definition of "systemic risk" to encompass concepts such as "interconnectedness" and "shadow banking"....
In the last three years most European banking groups have chosen to adopt Basel II "advance status". This has required banks to develop statistical models for estimating probability of default, loss given...
Implementation of Dodd-Frank Act raises op risk concerns, conference hears
Failure is a "black eye" for US financial sector, according to Federal Reserve Bank of Richmond unit head
Defining reputational risk still a challenge for risk managers, panel says
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.