Advanced measurement approach (AMA)
Emerging markets to suffer unique Basel II compliance problems
Implementation of Basel II "is a tall order for most emerging markets", said Zeti Akhtar Aziz, governor of the Bank Negara Malaysia at the 12th annual Central Banking Conference in London yesterday.
A-IRB is overly prescriptive, say US banks
Several US banks would like to see a full internal models-based approach to regulatory capital. According to their response to the Advance Notice of Proposed Rulemaking (ANPR) on the implementation of the new Basel Capital Accord, the banks said the…
SEC produces maverick Basel II framework, redefines op risk
Throughout the Basel Accord revision process, US regulators have had a reputation for going their own way on key issues, and the Securities and Exchange Commission (SEC) is no exception.
Associations to perform economic capital model convergence study
According to the response to the US's advance notice of proposed rulemaking (ANPR), written jointly by the Bond Market Association (BMA) and the International Swaps and Derivatives Association, a number of trade associations are organising a study on the…
S&P questions Basel II
NEW YORK - Standard and Poor's anticipates significant challenges for banks to quantify operational risk as outlined in Basel II, even though it expresses general support for the Accord as a whole.
RMG leaves Basel II op risk issues unresolved
SAN FRANCISCO - The Risk Management Group (RMG) of the Basel Committee on Banking Supervision met in mid-September to attempt to thrash out some key operational risk issues, and review the comments from the third consultative paper (CP3).
FSA official slams UK banks' preparedness for Basel II
UK banks are further behind in their preparations for Basel II than the UK's Financial Services Authority expected them to be, said Ian Tower, head of the risk review department of the prudential standards division of the regulator at a London conference…
Regulator outlines AMA issues for US banks
In a late-July speech at a Risk Waters Group forum on the US's advance notice of proposed rulemaking, the Federal Reserve's Kirk Odegard described how the US would be implementing the advanced measurement approach for op risk, and outlined regulators'…
ANPR maps out US differences on Basel II implementation for banks
WASHINGTON, DC - US regulators are determined to go their own way when it comes to implementing Basel II, according to the government's ANPR, published in mid-July.
CP189: the FSA yet to clarify rules for key op risk issues
LONDON - UK firms are faced with more questions than answers in the operational risk portions of the latest consultation paper from the FSA, CP189: Report and first consultation on the implementation of the new Basel and EU capital adequacy standards,…
Operational risk modelling: aggregating loss distributions using copulas
Capturing the dependence structure between business line/risk event types is an extremely important step for any serious attempt to model operational risk. In this article we show how this can be achieved by using a powerful statistical technique known…
US regulators issue their advance notice of proposed rulemaking
US regulators published the much-awaited advance notice of proposed rulemaking (ANPR) late on Friday afternoon, after a meeting of the Board of Governors of the Federal Reserve.
EU Cad concedes on investment firms but limits role of insurance
Brussels – The European Commission issued the fourth consultation on the capital adequacy directive (Cad) on July 1.
FSA publishes Basel II/CAD implementation consultation
The UK's Financial Services Authority published its 'Report and first consultation on the implementation of the new Basel and EU Capital Adequacy Standards' in early July.
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.
Sarbanes-Oxley requirements could complement Basel compliance
NEW YORK - Banks and financial institutions currently establishing processes to comply with Sarbanes-Oxley section 404 reporting requirements should be able to use those same processes to comply with future Basel II operational risk reporting…
German regulators begin industry dialogue
FRANKFURT - Germany's regulators are about to change the way they interact with the banking industry as they gear up to implement the operational risk portion of Basel II by 2006.
Basel Committee conference solidifies support for Pillar I approach
The long-awaited conference on operational risk issues, organised by the Basel Committee on Banking Supervisions' risk management group, helped solidify support among both bankers and international regulators for the inclusion of operational risk in…
Roundtable > Operational risk quantification: a discipline at a crossroads
Operational Risk magazine held its first European roundtable during Risk magazine's annual European congress, in Paris, on April 9.
Framework developed for German banks
BONN, GERMANY - Many of Germany's banks have been somewhat slow to prepare their operational risk management framework for the new international bank capital accord, Basel II, and the prospective European Union (EU) Capital Adequacy Directive (Cad).
CP3 Alert
CP3 Alert covers the most significant changes incorporated into CP3 by the Basel Committee, including alterations to the sections on securitization, operational risk, residential mortgages, credit derivatives, and the supervisory and public disclosure…
Landesbanken to offer credit loss database to third parties
Three of Germany's largest Landesbanken and the consultancy BearingPoint are planning to bring a credit loss database (CLD) that they are developing jointly to the market in the second half of this year. The tool is being designed to comply with the new…
Debate and controversy mark Op Risk 2003 events
Delegates at the fifth annual Operational Risk and Risk magazine operational risk conferences in London and New York this March were treated to what one speaker described as a "smorgasboard" of discussions on the subject. Attendees could choose from…
Quantifying the op risk in investment fund valuation
Fund management is often forgotten in the wider push towards quantitative operational risk management. Here, François Longin and Gautier Martin take a closer look at the operational risk that accompanies fund valuation.