Risk magazine
Basel implementation chief: no need for Basel III
Modifications being made to Basel II are sufficient to tackle the flaws in the framework and "we are certainly not going in the direction of Basel III", according to the chair of the standards implementation group of the Basel Committee on Banking…
Damage limitation
Efforts are under way to formalise the resolution process for collateral disputes, while other initiatives are planned to improve processes for posting collateral, valuation and margin practices. What are the challenges to meeting these targets? Ryan…
Getting the cycle to work
Regulators are keen for banks to take a through-the-cycle approach, as opposed to point-in-time, when calculating bank capital. But how are banks responding to the change? By Duncan Wood
Strength in adversity
Nordic Risk Rankings 2009
Counterparty maze
Regulators in the US and Europe are evaluating the concept of a central trade repository for over-the-counter derivatives as a means of increasing transparency and allowing better detection of systemic weaknesses. But will they be able to overcome the…
The usual upsets
Regulation
Put to the test
Stress-testing
Relief in store
Q&A
Baltic breakdown
Comment
Let the right one in
Structured Products
A return to credibility
The financial crisis has exposed the fact that many banks merely paid lip service to risk management, as well as relying too heavily on quantitative techniques. However, genuine risk management requires judgement and a strong risk culture within a firm,…
Turner: Capital and liquidity are core of bank regulation
Banking supervision must focus on better capital and liquidity standards, said Adair Turner, chairman of the UK Financial Services Authority (FSA).
Hedge fund group proposes tighter liquidity and anti-fraud rules
Hedge fund managers should use independent administrators to prevent fraud, and should impose limits on redemption requests, the Hedge Fund Standards Board (HFSB) recommended on July 1.
CDS spreads tighten further on US financials
The cost of credit protection on major US financials fell in today's European and Asian trading.
Agencies aim to unite US with Basel liquidity risk standards
US regulatory authorities yesterday released proposed guidance on contingent funding and liquidity risk in a bid to bring US financial institutions into alignment with international liquidity standards.
Change to BDI looks to boost derivatives trading
The way the Baltic Dry Index (BDI) is calculated will change as of July 1, in a move designed to encourage derivatives trading of the index.
Simulations with exact means and covariances
Attilio Meucci presents a simple method to generate scenarios from multivariate elliptical distributions with given sample means and covariances, and shows an application to the risk management of a book of options
Stepping through Fourier space
Diverse finite-difference schemes for solving pricing problems with Levy underlyings appear in financial literature. Invariably, the integral and diffusive terms are treated asymmetrically, large jumps are truncated, and the methods are difficult to…
Fast Monte Carlo Bermudan Greeks
In recent years, much effort has been devoted to improving the efficiency of the Libor market model. Matthias Leclerc, Qian Liang and Ingo Schneider extend the pioneering work of Giles & Glasserman (2006) and show how fast calculations of Monte Carlo…
The bank capital burden
Keenly awaited Basel II trading book rules were due to be decided upon as Risk went to press. Market participants worry the measures could retard the development of risk models and even kill off whole business lines Mark Pengelly reports