The credit valuation adjustment charge in Basel III allows capital relief for credit default swap (CDS) hedges. But once a product has a new use, it creates new demand – and prices must change. That...
New research sheds light on implications of product's role as regulatory capital hedge
Client clearing, repo markets, credit derivatives – the leverage ratio casts a shadow over them all. But the overarching complaint is that the ratio should remain a backstop, and it’s a point on which...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Basel iii articles
Positions in credit default swaps (CDSs) are eligible instruments to reduce some Basel III capital requirements. The value of this benefit should be reflected in the price. Chris Kenyon and Andrew Green incorporate this into a pricing model for CDSs,...
New liquidity ratio could be undermined if EBA allows banks to estimate their own exposures
Depositories will be liable for losses to customer assets under AIFMD, potentially creating a huge exposure for these firms. There is uncertainty over how this risk should be priced and how much capital to hold against the exposure
With Basel III expected to provide an incentive for further integration of data management and analytics into an enterprise-wide risk management platform, in this sponsored feature Moody’s Analytics discusses the key challenges institutions face when...
Holding minority stakes in other banks is capitally onerous under Basel III but with a majority of states in the region capping foreign ownership, mergers and acquisitions across Asia are facing serious hurdles
State Bank of Pakistan outlines its Basel III capital requirements for domestic banks
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future