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
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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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
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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
The advanced measurement approach requires financial institutions to develop internal models to evaluate regulatory capital. Traditionally, the loss distribution approach (LDA) is used, mixing frequencies...
Letter to Fed governor challenges proposed regulation of foreign banks on the basis of inconsistency with international standards and restrictive liquidity 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.