Defining reputational risk still a challenge for risk managers, panel says
Some banks calculating measures that are 3% of the median in Basel Committee study, while others are more than 2,500%
Regulators are bracing for fresh criticism of bank capital modelling, say industry sources
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More Basel II articles
The definition of operational risk given by Basel II is problematic when applied to institutions, since the risk only represents a potential loss. Staff and systems are considered to be the causes of losses,...
Less modelling freedom makes sense, says loan data expert – and the alternatives would be far worse
Behind-the-scenes clampdown sets loss-given-default floor at 45% – and could make UK bonds less attractive
We show that the saddlepoint approximation method for quantifying the impact of undiversified idiosyncratic risk in a credit portfolio is inappropriate in the presence of double-default effects. Specifically,...
In 2005 the internal-ratings-based (IRB) approach of Basel II was enhanced by a "treatment of double default effects" to account for credit risk mitigation techniques such as ordinary guarantees or credit...
The measurement and management of operational risk has become an increasingly important issue as a result of the new capital requirement for operational risk implemented in the New Basel Capital Accord...
Using a Merton model framework (consistent with Basel II formulas), we develop a methodology for point-in-time (PIT) and through-the-cycle (TTC) probability of default (PD) decomposition in credit risk...
Sequencing of the reforms is wrong, Société Générale's chief European economist tells conference
Costing stressed VAR
Plugging the gaps
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.