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...
Welcome to the first issue of the ninth volume of The Journal of Operational Risk. The spring and summer seasons bring a number of important operational risk conferences, among them OpRisk USA and OpRisk...
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
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 Regulatory capital articles
The credit valuation adjustment charge in Basel III allows capital relief for credit default swap (CDS) hedges. But once a product has a new use, it creates new demand – and prices must change. That has unsettling implications for the CDS market. Laurie...
New research sheds light on implications of product's role as regulatory capital hedge
In this issue of The Journal of Credit Risk we present three research papers and one technical report. Our first research paper is "Recovery rate risk and credit spreads in a hybrid credit risk model" by Mathieu Boudreault, Geneviève Gauthier and Tommy...
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 and severities to build a loss distribution function...
Letter to Fed governor challenges proposed regulation of foreign banks on the basis of inconsistency with international standards and restrictive liquidity rules
The Federal Reserve is planning a radical departure from traditional supervision by requiring the local offshoots of foreign banks to meet US capital and liquidity rules. Overseas banks are furious – and regulators are backing them publicly, amid fears...
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.
Topics of interest
Hong Kong, 1st - 31st Dec 2014
Japan, 24th Apr 2014
Japan, 24th Apr 2014
USA, 30th Apr 2014
USA, 8th - 9th May 2014