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.
In this paper (in English and German), Genscape has analysed Combined Heat and Power or Central Heat and Power (CHP)production in the German market, the challenges it raises for market participants, and the key steps required to address the fundamental lack of transparency in CHP plant production.
More Modelling articles
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 counterparty exposure will not be altered in the...
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...
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.
Hong Kong, 1st - 31st Dec 2014
Japan, 24th Apr 2014
Japan, 24th Apr 2014
USA, 30th Apr 2014
USA, 8th - 9th May 2014