The approach to the measurement of credit risk recommended by the new Basel Capital Accord (Basel II) gives a wide choice of basic risk estimators. However, the rules for estimating asset correlations are defined in an ambiguous manner.
Could premiums be better spent on improving controls, delegates ask
Standard-setter will publish modelling overhaul plan before November G-20 summit
Insurance against cyber risk is a growing market, but doubts remain over its effectiveness
A simple model highlights how AMA capital requirements can change dramatically
Regulation hits key element of landmark collateral contract - but planned revisions will reintroduce settlement risk
The experience of the 2008 crisis shows that leverage ratios are better warning signs than more complex measures such as capital ratios
Central bank to study need for counter-cyclical buffer in a developing economy
Dutch bank Rabobank has shaken off its Libor label pretty quickly, leaving it to focus on its co-operative roots, the AMA and its RCSA roll-out. Anne Snel-Simmons, head of operational risk management at Rabobank, talks to OpRisk about the challenges...
There is a magic number in bank capital rules – 5,000 trades – below which portfolios qualify for a lower margin period of risk. Some dealers are now trying to cut their books down to size. Others claim that’s impossible. Joe Rennison reports
Overtaken by events
Basel III sovereign cap creates internal model headache for Malaysian banks
Joachim Pfeifer, formerly head of operational risk at Commerzbank, describes the bank's journey towards advanced measurement approach approval
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 learning from credit and market risk practices and the benefits...
Higher capital requirements would incentivise banks to fix their problems more than fines, says Craig Spielmann at RBS