Beta
Road to transition
For a moment it looked as if the post-crisis drive for reform was losing momentum. But the Basel Committee on Banking Supervision has established working groups to keep the industry focused, and to propose ways to keep moving forward
Sigor to recalibrate TSA betas for operational risk capital
Rumours that regulators will be recalibrating the TSA betas have been proven true
Better safe than sorry
Editor's Letter
Optimal allocation to hedge funds
Lionel Martellini and Mathieu Vaissie argue that it is only by taking into account the exact nature and composition of their existing portfolio that institutional investors can maximise the benefits they can expect from investing in hedge funds. To this…
CP3 Comment: Why be standardised?
It seems such a short time ago that we were building a new capital Accord, which would incentivise banks to improve their risk management and encourage them to move along the spectrum of the new Accord's three stages. How rapidly things can change.
Operational risk: a practitioner's view
The Basel Committee on Banking Supervision ("the Committee") released aconsultative document that included a regulatory capital charge for operationalrisk. Since the release of the document, the complexity of the concept of "operationalrisk" has led to…
UK banking bodies expect further revisions to Basel II op risk plans
British banking industry bodies said in December they continue to expect that the operational risk aspects of the proposed Basel II bank safety accord will be revised in the light of banking industry experience.
No op risk surprises in QIS 3
BASEL - Some 265 banks in more than 50 countries were absorbing the contents of the key QIS 3 survey, which seeks information on how the complex Basel II capital pact would affect them, as Operational Risk went to press.
Gross income - what’s in a name?
Banking regulators are pondering whether to change the title ‘gross income’ as currently applied in the simpler approaches for measuring op risk under the Basel II banking accord.
Basel regulators cut op risk charge benchmark to 12%
BASEL - Global banking regulators formally acknowledged in late September some of the criticisms of their controversial proposal for an op risk capital charge. Their plan is to make large international banks set aside protective capital from 2005…
Data trouble
Regulators insist that they want a capital charge on banks’ operational risks. But the plan rests on the ability of banks to collect data and model the risks involved, and there’s a frightening lack of agreement on how to do that.
Banks face challenge assessing benefits of Basel II op risk approaches, says Andersen
Calculating the benefit for banks of adopting the more complex methods of arriving at an operational risk capital charge is very challenging because of uncertainties over the factors involved.
Basel discussion document will centre on internal measurement approach
Global banking regulators intend to issue in June or July a special discussion document on operational risk in the context of Basel II, the new capital adequacy accord proposed for large international banks from 2004.
Take the long and short route
Investment management