Basel II
Bank leverage and capital bias adjustment through the macroeconomic cycle
The author assesses the quantitative effects of the recent proposal for more robust bank capital adequacy.
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
A sensitivity analysis of the alpha factor
In this paper, we investigate the alpha factor’s sensitivity to key model parameters under stylized portfolio assumptions in order to better understand its complex characteristics. Our analysis is based on the numerical simulation of alpha sensitivities…
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Risk weight tweak could fix IFRS 9 capital clash – research
Practitioner suggests way to cancel out double-counting of Basel credit loss provisions
Basel risk weight functions and forward-looking expected credit losses
The authors establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and in order to alleviate the problem, they propose two…
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
The theoretical foundations of XVAs
Bloomberg analyses the theoretical basis of XVAs, focusing on the works and findings of its head of quantitative XVA analytics, Mats Kjaer, who emphasises the role of the capital valuation adjustment as a major driver of derivatives trading profitability…
A study on window-size selection for threshold and bootstrap value-at-risk models
This paper investigates the effects of window-size selection on various models for value-at-risk (VaR) forecasting using high-performance computing.
The use of business intelligence and predictive analytics in detecting and managing occupational fraud in Nigerian banks
The goal of this paper is to illustrate how Nigerian banks, and indeed banks elsewhere, can develop solutions that incorporate both BI and predictive analytics techniques in detecting, predicting, preventing and managing occupational fraud.
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
VAR lookbacks should shift dynamically, research suggests
Change-point analysis method helps identify regime shifts in equities markets, quants claim
2022 – A market risk odyssey
Though January’s final version of FRTB offered no great surprises to those who have followed the regulation since its inception, banks now have a greater idea of what is required of them. Bloomberg explores the importance for banks to have FRTB…
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Q&A: ‘Stop talking about rules’ – Basel’s Coen
Standard-setter’s top staffer is moving on. He wants industry to do the same
We need to talk about Collins
Standardised capital has become the binding constraint for all US G-Sibs bar Goldman and BNY Mellon
Operational risk measurement: a loss distribution approach with segmented dependence
This paper proposes an approach, called the loss distribution approach with segmented dependence (LDA-SD), which can model the different dependencies of HFLI and LFHI losses in the framework of LDA.
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Leverage ratio unpopular among non-Basel countries
Few jurisdictions use measure to backstop risk-based capital frameworks
UBS faces capital hike from credit model curbs
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm
