Practitioner suggests way to cancel out double-counting of Basel credit loss provisions
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…
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…
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…
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.
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…
Change-point analysis method helps identify regime shifts in equities markets, quants claim
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 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…
Standard-setter’s top staffer is moving on. He wants industry to do the same
Standardised capital has become the binding constraint for all US G-Sibs bar Goldman and BNY Mellon
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.
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Few jurisdictions use measure to backstop risk-based capital frameworks
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm
CET1 ratios improve between five and 120 basis points quarter-on-quarter at 'Big Five'
As a result, the bank’s CET1 jumped to 11.8% from 10.6% in the previous quarter
Switch to Basel II-based floor adds 16 basis points to bank's CET1 ratio