On Thursday, eurozone bank supervisors will be asked to give up dozens of safe harbours
Supervisors are “miles” from being able to monitor shadow banking risks, says financial stability head.
While standardised rules are being revised, banks say they can't make a call on floors
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
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ABSTRACT The Great US Recession of 2007-9 offers a unique opportunity to analyze the performance of credit risk models under conditions of economic stress. We evaluate three potential sources of model...
Banks would have to raise equity equal to 0.7% of current levels, ESRB finds
FAQ document to tackle treatment of segregated initial margin
Regulators are hoping higher capital levels will translate into healthier markets
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
Regulators argue a backstop is needed to avoid too-low modelled numbers
Regulators plan to floor modelled capital at a percentage of standardised approaches
States concerned over use of ‘deregulatory' valuation approach
The quantification of diversification benefit plays a critical role in quantitative risk models, especially within the context of regulatory and economic capital. However, the complexity of today's risk...
With around $1 billion deployed in capital relief trades and the same amount in direct lending, Chenavari has found a sweet spot for investors - but a danger area for regulators
Pricing the CVA doom loop
New research sheds light on implications of product's role as regulatory capital hedge
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.