Unwanted gift will be delivered, say regulators, and only its size is up for debate
Capital increase levied by Basel Committee could depend on use of mean versus median
Pillar 1 capital hike likely to outstrip any Pillar 2 add-ons, say dealers
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Residual risk add-on more broadly applicable than first thought under Basel rules
Analysis shows markets can be overly sensitive to single-factor events
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A five-minute formula from Alexander Denev that takes you through a simple probabilistic graphical model and explains how and why these are used. Find out more about the ground-breaking book, Probabilistic...
This paper analyzes and quantifies the idea of model risk in the environment of internal model building.
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Separate treatments can lead to underestimation of total risk
A side-effect of tough bank capital rules could be the rise of dark pools for credit trading
Bank of England to apply price shocks based on unwind periods
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.