Market risk
Basel DVA proposals could subtract billions from bank capital
Original headline:
Accountants want banks to report as profits the impact of widening credit spreads on their liabilities, but regulators are moving in the other direction. The result could be painful deductions from capital,...
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Markets face a testing 2012 – but Stephen Blyth argues they are better-equipped to cope than in 2008
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Despite the remarkable advances made over the past 25 years, David Rowe argues the industry’s existing risk models are not fit for purpose when it comes to stress testing and analysis of tail risk
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Cutting Edge introduction: risky contributions
Original headline:
Value-at-risk is usually calculated via Monte Carlo simulation, making it difficult to see the contributions from different risks. But in some circumstances approximate formulas can be derived that greatly save computing power – and explicitly show...
Top CROs worry about Basel III consistency
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A new research report published this month by Risk reveals that CROs at the world’s largest banks are worried about the consistency of Basel III rules
Economic turmoil taxes market risk models
Original headline:
Managing market risk is a key issue for life insurers. Clive Davidson looks at the challenges they face in modelling this risk and how the assumptions that underpin their models are changing in response to the recent economic turmoil
Use of OECD ratings in US market risk proposals questioned
Published online only
Country risk classifications "are not sovereign ratings" says OECD. US regulators last month proposed using them as an alternative to external credit ratings
Basel 2.5: US ratings workaround too punitive, banks complain
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Securitisations suffer in draft rules that avoid use of credit ratings - a Dodd-Frank Act requirement
Dealers count cost of Santander's Brazilian real hedges
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Santander protects the value of its growing Brazilian business with a huge hedging programme that leaves its counterparties long the real. That became a source of intense pain when the currency fell like a stone in late September. By Peter Madigan
Risk software survey 2011
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Banks are gearing up to meet strict new Basel III rules on counterparty credit risk, including a new charge for credit value adjustment, as well as the Basel 2.5 package of market risk capital amendments. At the same time, firms are thinking ahead to...
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