A new report from the Basel Committee on Banking Supervision says that, overall, banks are improving their disclosure of credit, market, operational and other risks in their annual reports.
US and UK industry associations have sent a joint letter to the Basel Committee on Banking Supervision expressing their "disappointment" that the multipliers for portfolio value-at-risk modelling of repo...
Risk would like to invite you to join us on 14 April 2014 at 10am EST / 3pm GMT for our next FREE webinar. Joining the panel discussion will be: Moderator: Duncan Wood, Editor, RISK. Athanassios Diplas, Senior Advisor, ISDA. Barry Hadingham, Head of Derivatives and Counterparty Risk, AVIVA INVESTORS. Neil Murphy, Director, Collateral Product Management, IBM RISK ANALYTICS. Click to register.
More Modelling articles
Giuseppe Castellacci and Michael Siclari of OpenLink introduce a class of exotic options that simultaneously generalises both Asian and basket options. They develop approximate analytic models for real-time pricing of complex instruments that average...
The park and loan model is useful for gas storages and pipelines. The concept can be applied to many ‘when to sell’-type decisions. Here, Huagang ‘Hugh’ Li considers selling park and loan services as a financial and statistical decision on revenue...
British banking industry bodies said in December they continue to expect that the operational risk aspects of the proposed Basel II bank safety accord will be revised in the light of banking industry experience.
Thanks to recent events, bank risk managers are placing more emphasis on integrating counterparty and credit risk into other portions of their enterprise-wide risk management systems.
The main argument for making regulatory capital requirements more risk-sensitive is to improve allocational efficiency. But this may lead to intensified business cycles if regulators fail to take measures to prevent such an impact.
When using conditional independence frameworks such as CreditRisk+, identifying multiple sectors that embody systematic factors can be a challenge. Leif Boegelein, Alfred Hamarle, Robert Rauhmeier and Harald Scheule show how the technique of seemingly...
LONDON – Technical experts expect this week to finalise their proposals for handling the one major issue still outstanding in the complex Basel II accord aimed at making the world’s banking system safer – the technically thorny question of how to...
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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