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Treatment of incomplete data: the effects on parameter estimates, EL and UL figures
Marco Moscadelli1, Anna Chernobai 2 and Svetlozar Rachev 3 discuss a practical solution for consistent estimation of operational loss severity and frequency distributions, and analytically measure the extent of the bias on the EL and UL figures when…
NPR: under wraps, for now
Considering last month’s US regulator conference should have covered the notice of proposed rulemaking in some depth, any information on NPRs was noticeably scant. By Ellen Davis
CRD timing in doubt
BRUSSELS – The timing of the EU’s Capital Requirements Directive (CRD) remained in doubt as members of the Committee of Economic and Monetary Affairs in the European Parliament submitted a whopping 887 amendments at the May 23 meeting.
OCC targets large banks’ reputational risk
WASHINGTON, DC – The Office of the Comptroller of the Currency (OCC) will be paying particular attention to reputation risk management in large banking organisations, says acting comptroller of the currency, Julie Williams.
Six months for US parallel running?
BOSTON – Regulatory authorities in the US might shave Basel II’s year of parallel running down to just six months, according to several industry sources.