Basel II
Asset correlation of retail loans in the context of the new Basel Capital Accord
The approach to the measurement of credit risk recommended by the new Basel Capital Accord (Basel II) gives a wide choice of basic risk estimators. However, the rules for estimating asset correlations are defined in an ambiguous manner.
Insurance of limited value for op risk mitigation
Could premiums be better spent on improving controls, delegates ask
Basel will reinforce IRB not replace it – Byres
Standard-setter will publish modelling overhaul plan before November G-20 summit
Cyber insurance struggles to overcome concerns over coverage
Insurance against cyber risk is a growing market, but doubts remain over its effectiveness
The problems of explaining AMA volatility
A simple model highlights how AMA capital requirements can change dramatically
Isda forced to rework year-old standard CSA
Regulation hits key element of landmark collateral contract - but planned revisions will reintroduce settlement risk
Simple indicators better for regulators, BoE economist argues
The experience of the 2008 crisis shows that leverage ratios are better warning signs than more complex measures such as capital ratios
Nepal central bank cautious on Basel III counter-cyclical buffer
Central bank to study need for counter-cyclical buffer in a developing economy
AMA, RCSAs and dealing with Libor at Rabobank
Dutch bank Rabobank has shaken off its Libor label pretty quickly, leaving it to focus on its co-operative roots, the AMA and its RCSA roll-out. Anne Snel-Simmons, head of operational risk management at Rabobank, talks to OpRisk about the challenges of…
5,000 trades: Basel III's magic number squeezes swaps books
There is a magic number in bank capital rules – 5,000 trades – below which portfolios qualify for a lower margin period of risk. Some dealers are now trying to cut their books down to size. Others claim that’s impossible. Joe Rennison reports
Still no end in sight for US banks' parallel run
Overtaken by events
Malaysian banks face 20% capital surcharge from Basel III internal model switch
Basel III sovereign cap creates internal model headache for Malaysian banks
Implementing the AMA: an insider's view
Joachim Pfeifer, formerly head of operational risk at Commerzbank, describes the bank's journey towards advanced measurement approach approval
OpRisk Europe: 1,000-year standard is unreachable, Mignola says
ORX chairman says Basel II definition is fundamentally flawed
OpRisk Europe: Sigor review to repair credibility, Adachi says
Sigor chair says review focus will be on capital model credibility and comparability
Standardise op risk reporting, RBS’s Spielmann says
Despite the crisis giving operational risk the recognition it deserves, its value continues to be called into question. Craig Spielmann, head of operational risk at RBS Americas, talks about learning from credit and market risk practices and the benefits…
Indonesia’s credit growth outrunning risk management
Credit limit
Higher capital not fines, says RBS Americas head of op risk
Higher capital requirements would incentivise banks to fix their problems more than fines, says Craig Spielmann at RBS
Paper of the year: JD Opdyke and Alexander Cavallo
Paper of the year: JD Opdyke and Alexander Cavallo
Benefits and pitfalls of a risk taxonomy
Rigorous classification of operational risks can be the foundation of a good risk framework – but it's easy to get wrong, warns Marcelo Cruz