Quants propose easy approximations for modelling wrong-way risk in CVA frameworks
Capital benefits also remain intact for modelling banks, says Fed official
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
Exposure under systemic impact
Less modelling freedom makes sense, says loan data expert – and the alternatives would be far worse
Counterparty risk capital and CVA
Name concentration correction
The Basel Committee shocked many bankers in December by unleashing proposals to significantly increase capital requirements for counterparty risk exposures. But industry participants argue the measures overlap with each other and could hike up capital...
It has been more than six years in the making, but the final text of the Basel II framework has arrived. The Basel Committee on Banking Supervision published the text at the end of June to a mix response from the financial services industry.
Paul Kupiec's article in the August issue of Risk – Does CP3 get it right? – raised a number of concerns about the application of Basel II to retail portfolios.