Basel II
Europe allows wider role for op risk insurance in Cad 3 [full story]
BRUSSELS - European banks and investment firms would be able to use operational risk insurance to reduce capital charges in all approaches to measuring op risk under new European Union (EU) capital adequacy rules, banking industry and regulatory sources…
Basel II op risk charge will help tackle concerns, says McDonough
NEW YORK - Banking supervisors believe that a separate capital charge for operational risk under the Basel II capital rules will bolster efforts to find better ways of addressing concern about the operational hazards faced by banks, the world's chief…
Banding together for SME credit risk analytics
Germany's banking associations are taking a leading role in getting the country's fragmented banking sector ready to comply with the Basel II capital Accord. Germany's savings banks association, in particular, says it has internal ratings-based systems…
Letter to the editor of Risk : a response to Cosandey and Wolf’s Avoiding pro-cyclicality
Much has been written on the proposed changes to the Basel Accord (Basel II), and we have been surprised that the vast majority of both academic and practitioner literature focuses on the prescriptive regulatory approaches and formulas to calculate…
Data hurdles
The risk management rumour mill has been buzzing in recent weeks with the story that US banking regulators have told the senior management of the country’s 30 largest banks that they will be expected to implement the advanced internal ratings-based (IRB)…
VAR “not to blame” for 1998 crisis, says leading academic
“There is no evidence to support the assertion that VAR-based risk management systems destabilise the financial system,” says University of California at Irvine professor Philippe Jorion, in a paper just published in the fall 2002 edition of The Journal…
Europe allows wider role for op risk insurance in Cad 3
European banks and investment firms would be able to use operational risk insurance to reduce capital charges in all approaches to measuring op risk under new European Union (EU) capital adequacy rules.
Europe allows wider role for op risk insurance in Cad 3
European banks and investment firms should be able to use operational risk insurance to reduce capital charges in all approaches to measuring op risk under new European Union (EU) capital adequacy rules.
Unsystematic credit risk
Although Basel has shifted its treatment of unsystematic credit risk from the first, capital rules pillar (where it was called the ‘granularity adjustment’) to the second, supervisory pillar of the forthcoming Accord, this issue is of great practical…
IAFE releases op risk white paper for buy-side firms
The International Association of Financial Engineers (IAFE) yesterday released a white paper on operational risk for buy-side institutions, which concludes that business reputation rather than Basel-inspired regulation is the real driver for implementing…
Sponsor's article > Basel II and pro-cyclicality
The main argument for making regulatory capital requirements more risk-sensitive is to improve allocational efficiency. But this may lead to intensified business cycles if regulators fail to take measures to prevent such an impact.
Sponsor's article > Credit derivatives: will the market keep expanding?
This article aims to give a brief overview of some of the main trends in the credit derivatives market and also proposes to analyse some of the underlying reasons why this market is experiencing such a boom.
Sponsor's article > Preparing for Basel II - how urgent?
Delays in Basel II have lulled many into complacency. But despite lack of final details for the regulations, David Rowe argues it is not too early to begin planning and initial implementation.
Value-at-risk: down but not out
‘No more VAR.’ This increasingly shrill call is being made by a section of the academic finance community both in journals and at conferences. Now, some practitioners are latching on, offering ‘VAR-free’ portfolio optimisation that is being promoted as…
Portfolio allocation to corporate bonds with correlated defaults
This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility ofcorrelated defaults. Under fairly general assumptions for the distribution of thetotal net assets of a set…
Landesbanken's operational risk management tool
Many German banks lag behind their peers when it comes to operational risk management. The proposed new international bank capital accord, Basel II, which - for the first time - stipulates a separate capital charge for operational risk, has put the topic…
Tracing Transparency
Corporate bond traders are hesitantly embracing greater transparency and trying to figure out how to use it.
Budgeting for 2003
Deutsche Bank, Merrill Lynch and State Street outline how next year's budget will be spent. For starters, it will be spent cautiously.
Diversification of Morgan Stanley
One year after Sept. 11, Morgan Stanley contemplates a simple thought with complex repercussions: Don't put all of your eggs in one basket.
Back to Bayesics
Gerald Sampson, of Saratoga Consulting, argues that a Bayesian approach to analysing transaction failures produces superior results.
Legg Mason Gets a Leg Up on Disclosure
Baltimore-based Legg Mason is one of the first firms to tap software to comply with NASD Rule 2711 about disclosing conflicts of interest.
Reaping integration rewards
In the October issue of Risk, Clive Davidson discussed the integration of ALM and ERM technology. Here, in a second article, he profiles the firms that have tackled this project and reviews the challenges, advantages and pitfalls of the integration…
An agency apart
The Financial Services Agency has more than its share of critics, thanks to controversial regulations and its handling of the banking crisis. A senior official at the agency talks about what lies ahead.
OpVar 4.2 unveiled
New York-based operational risk quantification firm OpVantage - a division of Fitch Risk Management - has launched version 4.2 of its OpVar operational risk product suite. The suite allows users to collect op risk data, analyze loss probabilities, scale…