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
More Basel ii articles
This issue of The Journal of Risk includes contributions that enhance our understanding of risk-weighted assets in the context of value-at-risk as well as the estimation of this popular risk measure on the basis of multivariate returns over long holding...
It was the toughest part of Basel III for the US to swallow – a requirement that unrealised gains and losses on some bonds would hit bank capital calculations. In Europe, legislators provided an opt-out – and some countries have already chosen to...
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
Our fall issue contains a number of innovative papers that we hope are of great interest to our readers. A feature of a number of these papers is that they offer new methodologies with attractive empirical properties. Since these are hard to verify at...
The Fed’s vote on Basel III provides banks with clarity for their capital reserve requirements, but their Basel II compliance for operational risk remains in limbo. US banks are still in parallel run with no clear answers and no clear exit in sight...
Basel III sovereign cap creates internal model headache for Malaysian banks
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.
Hong Kong, 1st - 31st Dec 2014
UK, 18th Mar 2015
Australia, 12th - 13th Aug 2014
Australia, 14th Aug 2014
USA, 20th - 21st Aug 2014