Basel II
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
Basel floor change boosts Canadian bank capital ratios
CET1 ratios improve between five and 120 basis points quarter-on-quarter at 'Big Five'
TD Bank freed from Osfi capital floor
As a result, the bank’s CET1 jumped to 11.8% from 10.6% in the previous quarter
New capital floor saves CIBC C$244 million
Switch to Basel II-based floor adds 16 basis points to bank's CET1 ratio
NSFR consultation: industry awaits derivatives fix
Possible fixes under consultation don’t go far enough, say banks
Unskewed incentives: making governance work
EIB model head explains a four-step process for putting risk at the centre of governance efforts
A practical maturity assessment method for model risk management in banks
This paper proposes a qualitative method to assess the maturity of model risk management practices within banks.