Basel II
Restructuring debate will rage on after CP3, says Munro
The Basel Committee’s widely anticipated ditching of restructuring as a required credit event for capital relief in its forthcoming third consultation paper on Basel II, will not bring to an end the heated debate between hedging banks and investors over…
Risk Europe 2003: Industry worried about ‘level playing field’ implementation of Basel II
Bankers and their banking associations are increasingly concerned that the new bank capital Accord Basel II and its European equivalent CAD3 may not be implemented in a consistent manner in different national jurisdictions. These fears were expressed…
Standardised approach may receive op risk charge cut, says ECB official
The operational risk charge related to the Basel II ‘standardised approach’ may be cut in the third consultative paper (CP3) due for release next month by the Basel Committee on Banking Supervision, according to Panagiotis Strouzas, a senior expert in…
Random tranches
How should economic or regulatory capital be allocated to tranches of securitisations? The standard Basel conditional dependence calculations are complicated in this case by non-linearity effects and complex deal dependence. Here, Michael Gordy and David…
Driving down fixed costs
Outsourcing could be the key to institutions keeping up with the cost of installing technologies able to cope with CLS, Basel II and STP, and could provide a vital comfort zone in future-proofing your IT.
FiXing op risk
In a post-Rusnak era, operational risk management is a high priority. Could the Financial Information eXchange messaging standard provide a safety net?
Why risk IT?
Ever more complex investment risks with crushing liability factors and increased client scrutiny demand new and highly sophisticated technology, says Adrian Pay of LatentZero.
Terrorism insurance - Modelling the unthinkable
In November, the US government passed a law requiring all insurers to underwrite terrorism risk, forcing them to find a way to price this exposure. Could terrorism risk models be the answer?
Tailoring internal models
Swiss Re's Pablo Koch Medina, Frank Krieter and Stephan Schreckenberg highlight the key features and main limitations of internal risk models for insurers.
Meeting Basel II head on
Regulators are urging banks to update their rating methodologies in preparation for Basel II. Fitch Risk's Treeve Coomber thinks his new product will help to meet this challenge.
Analysing business processes
A good understanding of how a business works is the fundamental prerequisite for operational risk analysis. Johan Palm describes the rationale for, and implementation of, the Swedish National Debt Office's bottom-up business process analysis.
ECB highlights dangers of over-concentrated market
FRANKFURT — Market consolidation and a reliance on electronic trading could lead to an over-concentration of risk and liquidity among too few market participants, the European Central Bank has warned.
EU supervisory committee to be established
The European Commission is establishing a supervisory committee designed to promote convergence among EU nations in the adoption of the Basel Accord revisions and the related EU Capital Adequacy Directive (CAD), according to Jean-Claude Thebault, head of…
Op risk economic capital is 15%, says BIS study
Banks allocate an average of 15% of their economic capital for operational risk, according to a study released today by the Bank for International Settlements (BIS).
QIS3 results delayed until May
The release of the third quantitative impact study results will be delayed until May, when they will be published alongside the Basel Committee on Banking Supervision's third Consultation Paper (CP3), according to Patricia Jackson, special adviser on…
NY Fed’s Rutledge outlines US plans, IRB goals
William Rutledge, executive vice-president of the New York Federal Reserve Bank, outlined the next steps US regulators will take to implement the Basel Accords in the US.
In need of reassurance
The knock-on effects of the crisis in equities has hit the insurance sector particularly hard – so much so that UK regulatory body the FSA has been forced to step in and allow certain insurers to breach mimimum solvency ratios.
Rating agencies open can of worms
NEW YORK — Rating agencies are coming under much closer scrutiny as providers of operational risk analysis, as a result of the Basel Accord revisions and recent US corporate scandals.
European demand for op risk talent set to surge in 2003
LONDON — Executive recruiters are seeing a strong rise in interest in hiring operational risk talent for commercial and investment banks, and dozens of fresh mandates.
QIS 3 results to be delayed to May
The release of the third Quantitative Impact Study (QIS3) results will be delayed until May.
Advancing op risk management using Japanese banking experience
Junji Hiwatashi and Hiroshi Ashida of the Bank of Japan outline a practical framework for operational risk management, derived from research and experiences in Japan's financial community.
Mark-it Partners puts it all on Red
Deutsche Bank, Goldman Sachs and JPMorgan are negotiating the sale of their credit derivatives reference entity database, Red, to UK credit risk data company Mark-it Partners.
Caruana to replace McDonough as Basel Committee chief
Jaime Caruana, governor of the Bank of Spain, will replace William McDonough, president of the Federal Reserve Bank of New York, as chairman of the Basel Committee on Banking Supervision.
Securities trading could be money laundering tool
PARIS — Securities trading is a potential mechanism for money laundering, the Financial Action Task Force (FATF) said in February.