Impact study postponed for Basel rate-risk project
QIS was due to get under way last month but will now start in mid-2015
An impact study meant to inform a new capital framework for loans, deposits and other non-traded products has been postponed – the latest in a series of delays to hit a project that is said to have divided regulators.
For two years, a Basel Committee on Banking Supervision working group has been working on proposals to regulate interest rate risk in the banking book (IRRBB) under a standardised capital charge, rather than under the current Pillar II framework that leaves capital to the
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Asset liability management
Incorporating climate risk into ALM frameworks for banks
Banks are coming under increasing regulatory pressure to incorporate climate risk into their risk management frameworks. An emerging focus is incorporating climate risk into the asset-liability management (ALM) function. This webinar explores this new…
ALM and liquidity risk reporting greatly enhanced by big data applications
Sponsored video: Luis Mataias, IBM Watson Financial Services
Leading the way in the risk management (r)evolution
Sponsored feature: Prometeia
Insurers must perform balancing act
Winners' Circle: RBS
Stress testing in non-normal markets via entropy pooling
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
Basel to unveil ‘Pillar 1-lite’ approach to rate risk
First public consultation expected this month in long-running project
In-depth introduction: Bonds
Interplay between rules could reshape demand for government debt
Tail risk premiums versus pure alpha
Tail-risk skewness, rather than volatility, is correlated with risk premiums
