Risk-weighted assets (rwas)
Basel Committee's new standardised approach to counterparty risk exposures will replace much-criticised CEM measure in a trio of rules
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
Regulators have increasingly been pushing for less reliance on bank internal models, but Osfi’s deputy superintendent of the regulation sector, Mark Zelmer, thinks internal models have a place
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 Risk-weighted assets (rwas) articles
Banks turn to lawyers for advice as CVA functions face tougher conditions than other trading desks
The use of internal bank models for meeting capital requirements has been approved for some time. Regulators thus face issues of model approval, necessitating some public domain analysis of model performance. This paper presents a new approach to risk...
This issue of The Journal of Risk includes contributions that enhance our understanding of risk-weighted assets in the context of value-at-risk as well as the estimation of this popular risk measure on the basis of multivariate returns over long holding...
In the Basel III world, traders know their business must deliver a target return on equity, or risk being shut down – but working out the capital cost, or benefit, of a trade at inception is so difficult that banks only have approximations to guide...
There is a magic number in bank capital rules – 5,000 trades – below which portfolios qualify for a lower margin period of risk. Some dealers are now trying to cut their books down to size. Others claim that’s impossible. Joe Rennison reports
Dividing the over-the-counter market into cleared and uncleared products creates extra risk and inefficiency, critics claim – it also creates an opportunity for services that can repair the damage. Start-ups and established firms alike are now jockeying...
With Basel III expected to provide an incentive for further integration of data management and analytics into an enterprise-wide risk management platform, in this sponsored feature Moody’s Analytics discusses the key challenges institutions face when...
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