The credit valuation adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardis...
This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
More Basel iii articles
Hitting the buffers
Turning borders into barriers
Intelligent thinking for risk systems
Thailand joins the Philippines and India in introducing Basel III capital adequacy requirements ahead of schedule but doubts remain over some aspects of the accord
The banking industry is moving ahead with Basel III implementation – even in the US, where regulators only recently released their Basel III proposals
A new balance
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.