Regulators are attempting to narrow the gap between regulatory capital formulas and banks’ internal models – but recent work in the area of the controversial credit value adjustment demonstrates just...
The credit value adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardised CVA...
At a busy conference in London in June, leaders of the operational risk management industry expressed doubt over the outcome of regulatory reform efforts, and called on banks to make their own operational...
More Basel iii articles
Policy-makers in Europe and the UK are pursuing a policy of austerity, but calls for measures to stimulate growth are getting louder. Meanwhile, new execution and clearing regulations are coming into force. How are inflation markets responding to these...
BoE thought to be the first major central bank to change policy on collateralisation as it seeks to reduce dealer funding charges
Loss-making unit's RWAs would have tripled under Basel III, JP Morgan chief executive says - but attempting to cut capital burden made its hedges more complex
The negative impact of the counter-cyclical capital buffer on high-growth countries has reinforced the feeling that the Basel III Accord is biased towards the North American and European banking systems at the expense of Asia
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.
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