Stress testing next on the agenda for Basel Committee
With the need for more qualitative assessments of risk becoming ever more paramount in the wake of the credit crisis, the Basel Committee for Banking Supervision is working on a consultation paper on stress testing.
The quantification of risk has made great strides in the past decade, in no small part due to regulatory requirements under the Basel II framework. Even so, recent turmoil has highlighted several shortcomings in the ability of models to capture all risks, particularly during periods
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