Basel rules allow a combination of internal and standardised models
Corinti: Modelling sovereign risk should not be a Pillar 1 requirement
More Pillar 1 articles
Charge was felt to be "too difficult to capture" without complex rules
QIS was due to get under way last month but will now start in mid-2015
New guidelines prescribe make-up of Pillar II capital add-ons for first time
Both probability of default (PD) and loss given default (LGD) constitute relevant input parameters for credit risk management in pillars I and II. Assuming that both default data and loss data have been...
Draft delegated acts suggest the last liquid point for non-euro currencies could shift
Concerns raised over Eiopa’s discretion over methodology
Instability of capital framework should be reflected in plans for soft-launch
Supervisors say existing guidance has yet to be tested and may not work
With regulators struggling to get comfortable with insurers’ internal models, and with the memory of the subprime crisis still lingering, the question of how to ensure that the models are robust i...
French regulator also considering adjusting pre-approval schedule
Smoothing the flow
Bernd Rummel describes EBA push for Europe-wide approach to capital rules
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.