Riccardo rebonato
Perverse capital
Original headline:
Source: Risk magazine
Many banks adjust the value of trades to reflect the possibility of their own default, with the counter-intuitive effect that a rise in their credit spread appears as a profit. Basel refuses to recognise...
Published online only
Source: Risk magazine
Modifications by the Basel Committee are welcomed, but further changes are needed, dealers claim
Published online only
Source: Risk magazine
Regulators might adapt the bond-equivalent approach amid claims the methodology will lead to perverse incentives
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CVA and the equivalent bond
Original headline:
Source: Risk magazine
Riccardo Rebonato, Mike Sherring and Ronnie Barnes investigate whether it is possible to model the credit valuation adjustment (CVA) by means of an equivalent bond, and if the regulatory Method 1 constitutes an acceptable approximation. They conclude...
Regulators hit back at IIF’s doom-laden predictions of Basel III impact...
Published online only
Source: Risk magazine
Regulators believe the IIF has over-estimated the effect of the planned Basel III reforms.
Industry disappointed by lack of clout in CCP standards
Published online only
Source: Risk magazine
Dealers complain a long-awaited draft of standards for derivatives clearing platforms fails to address key issues.
Pushed to the limit
Original headline:
Source: Risk magazine
The dramatic events of September and early October saw the global financial crisis hit a new nadir, presenting banks with a scenario most had thought unthinkable even a few months ago. With regulators citing stress testing as a key means of predicting...
If it's broke..
Original headline:
Source: Risk magazine
With banks required to develop internal processes to measure capital adequacy under Pillar II of Basel II, the use of economic capital models has become increasingly widespread. But recent market turbulence has raised doubts over whether the current models...
RBS appoints former Dresdner derivatives head
Published online only
Source: Risk magazine
Matteo Mazzocchi, former global head of equity and credit derivatives at Dresdner Kleinwort, has moved to Royal Bank of Scotland (RBS).
Questioning the numbers
Published online only
Source: Operational Risk & Regulation
Model risk has become a key focus for financial institutions. But how do dealers ensure their models are implemented correctly and that they accurately reflect the risks an institution is running? By Laurence Neville
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