Banking regulation
Approximating lifetime expected credit loss
Credit rating and collateral value's changes have a measurable impact on creditworthiness
A numerical simulation approach to study systemic risk in banking systems
The authors introduce a simple numerical algorithm to study banking systems subject to credit risk. The algorithm is based on a model that is completely defined by only two parameters.
Supervisory bank risk early warning modeling: an examiner’s first line of defense
The results of this paper show that robust forward-looking statistical models are superior to backward-looking assessments of supervisory compliance, which could lead to less regulatory burden when integrated into the examination process, particularly at…
Asic to weigh in on Libor transition conduct risk
Australia’s markets regulator will publish guidance on firms' conduct obligations in move to RFRs
Virus volatility swelled CVA charges at Barclays, NatWest in H1
PRA capital relief for market risk eased the CVA burden at some lenders
An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework
This paper presents a new default risk model for market risk that is consistent with these requirements. The recovery rates follow a waterfall model that is based on a minimum entropy principle.
How Onyx came from nowhere to conquer oil swaps
In just four years, market-maker has become the largest provider of liquidity in energy derivatives
Basel members speed up implementation of banking reforms
Most rules now adopted by more than half of member jurisdictions
Is operational risk regulation forward looking and sensitive to current risks?
This paper evaluates the operational risk capital requirements of large US banks to determine whether they are forward looking, sensitive to banks’ current exposures and designed to allow for risk mitigation.
Fed finds more risk failings at FBOs than at US firms
FBOs attract hundreds more matters requiring attention than domestic banks
Humans struggle to keep pace with machine learning
Banks and regulators grapple with ‘XAI’ challenge
NSFR pricing Singapore banks out of swaps market, dealers say
Market share in long-dated trades has halved since metric was imposed at start of year
Predictive fraud analytics: B-tests
In this paper, the authors look at B-tests: methods by which it is possible to identify internal fraud among employees and partners of the bank at an early stage.
Forward-looking and incentive-compatible operational risk capital framework
This paper proposes an alternative framework for setting banks’ operational risk capital, which allows for forward-looking assessments and limits gaming opportunities by relying on an incentive-compatible mechanism.
To be resolved: the FDIC and the future of bank failure
Will Jelena McWilliams finally nail down the FDIC’s role as a resolution authority?