Risk sensitivity
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...
Published online only
Source: Risk magazine
Recent market turmoil has put risk management firmly in the spotlight, with regulators, lawmakers, industry practitioners, senior management, and the press all scrutinizing current risk management practices....
Published online only
Source: Risk magazine
Per Horfelt designs an efficient and accurate method to price many popular multi-asset options such as options on the minimum and maximum of several assets and podiums. The method is based on a modification...
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Basel II to boost both large and small banks' loan prices
Published online only
Source: Operational Risk & Regulation
The prices of some loan products for retail and middle-market corporate clients will almost certainly rise when banks implement the Basel II capital Accord in 2006, according to speakers at Risk 's Capital Allocation 2002 USA conference this morning....
Pro-cyclicality in the new Basel Accord
Published online only
Source: Operational Risk & Regulation
Could Basel II worsen recessions? By backtesting the proposed capital rules to the last recession, D. Wilson Ervin and Tom Wilde argue that the increased risk sensitivity of loan portfolio regulatory capital in the new Accord could have unwelcome systemic...
Pro-cyclicality in the new Basel Accord
Original headline:
Source: Risk magazine
Could Basel II worsen recessions? By backtesting the proposed capital rules to the lastrecession, D. Wilson Ervin and Tom Wilde argue that the increased risk sensitivity of loanportfolio regulatory capital in the new Accord could have unwelcome systemic...
EU anticipates critics in its Op Risk charge proposals
Published online only
Source: Operational Risk & Regulation
While debates still rumble on over the new Basel capital accord, the European Union Commission's capital adequacy rules are prompting another set of arguments.
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