Market risk

Pro-cyclicality in the new Basel Accord

Could Basel II worsen recessions? By backtesting the proposed capital rules to the last recession, D. Wilson Ervin and Tom Wilde argue that the increased risk sensitivity of loan portfolio regulatory capital in the new Accord could have unwelcome…

A new lease of life

Hedge fund service providers looking to stay ahead in the marketplace are turning to corporate websites to communicate with their customers

Basel's new credit model

The Basel Committee’s new consultative paper allows banks to internally rate individual credits. But at the portfolio level, Basel wants to apply a single model framework, based in part on a technical paper published in Risk magazine in October 1998.

Stress tests and risk capital

For many financial institutions, "stress tests" are an important input into processes that set risk capital allocations. In the current regulatory environment, two distinct model-based approaches for setting regulatory capital requirements include stress…

A coherent framework for stress testing

In recent months and years, practitioners and regulators have embraced the idea of supplementing value-at-risk estimates with "stress testing". Risk managers are beginning to place an emphasis and expend resources on developing more and better stress…

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