Five Reasons Why Regulators Should Approve The Loss-Distribution Approach


The Basle Committee shied away from the most risk-sensitive way of calculating an op risk charge, says Michael Haubenstock. He argues for a green light

Global banking regulators have effectively turned down the one approach to calculating an operational risk capital charge that would fulfil their aim of making the charge truly risk-sensitive.

They should change their minds and ensure that the method -- the loss distribution approach (LDA) -- is an option in the new capital adequacy accord they

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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