Basel Committee on Banking Supervision (BCBS)
Model foundations of Basel III standardised CVA charge
The credit valuation adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardised CVA charge formula can be obtained by adding several…
Dealers seek clearing exemption for new TriOptima service
TriOptima’s new risk mitigation system, triBalance, is a big hit among dealers – but it faces a regulatory death sentence
Risk 25: Banks prepare for a low-RWA future
Weight loss: preparing for a low-RWA future
Risk 25: The search for margin efficiency
Margin efficiency: The new battleground
Risk 25 firms of the future: Basel Committee
Implementing rules and filling in gaps
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
Relief for dealers as Basel reins in capital for cleared trades
Basel Committee addresses long-standing complaints over default fund exposures and client clearing
Lack of uptake hinders AMA development in UK
Abandoning the AMA?
OpRisk Asia review: Exploring Asia’s AMA anomalies
Asia’s AMA anomalies
Don't blame the quants, says Merton
Quantitative models were unfairly criticised in the aftermath of the financial crisis, says legendary quant and co-creator of the Black-Scholes equation, but there’s plenty for quants to work on in the current environment
Risk.net poll: Basel Committee wrong to be sceptical of capital models
Readers of Risk.net vote two to one against the Basel Committee's new-found distrust of internal capital modelling
New CPSS/Basel guidance on FX risk management to be published soon
A new consultation paper on risk management practices in the FX market will be released in the third quarter – and may be published as early as this month
Basel III threatens to throttle trade finance
An unwelcome trade-off
WGMR margin rules borrow heavily from US proposals
Working group publishes proposed margin rules for uncleared trades – bringing global rules in line with an earlier US proposal
OpRisk Europe 2012: Video
Highlights of the keynote speeches and discussions from this year's London conference
Writing love letters to models
Love letters to models
Cutting Edge introduction: The origins of the standardised CVA charge
The origins of CVA
ETF tracking error conundrum
Tracking error conundrum
Banks hope for CCP capital concessions at Basel meeting
Banks and CCPs are pressing for changes to method of calculating default fund capital
US senator calls for VAR overhaul
Speaking to Risk after JP Morgan boss testifies on $2 billion loss, US Senate banking committee member Kay Hagan says risk modelling and reporting need overhaul
Risk.net poll: Industry divided over plan to scrap VAR
Poll on Basel Committee proposal to ditch VAR attracts close to 1,000 votes - with a narrow victory for critics of the metric