Gamma

• Market risk

Cutting Edge introduction: requiem for a probabilist

Requiem for a probabilist

• 10 Jan 2012

• Structured products

Barclays sees above-trend growth and below-trend inflation

• 25 Mar 2010

• Risk management

A better approach to operational risk aggregation

Professor Carol Alexander proposes an aggregation methodology that takes account of dependencies between op risk losses that have some common risk drivers.

• 24 Apr 2003

• Infrastructure

A major improvement

In May, David Rowe wrote that the Basel Committee ‘could do better’ with respect to the inclusion of operational risk in the capital Accord. Here, he says the working paper the committee published in late September outlines a major and valuable…

• 01 Dec 2001

• Markets

Is there hope in the advanced measurement approaches?

Basel II is mistaken in assuming a stable relationship between expected and unexpected losses, argues Jacques Pézier in his second article on the Basel Committee’s recent operational risk working paper.

• 01 Dec 2001

• Operational risk

Advanced measurement approaches

The September working paper on operational risk from the Basel Committee on Banking Supervision confirmed that global banking regulators are looking at a range of advanced ways of calculating op risk capital charges instead of a single method.

• 01 Oct 2001

• Risk management

Data trouble

Regulators insist that they want a capital charge on banks’ operational risks. But the plan rests on the ability of banks to collect data and model the risks involved, and there’s a frightening lack of agreement on how to do that.

• 01 Jun 2001

• Infrastructure

Could do better

David Rowe argues that the Basel Committee can provide better incentives for improved operational risk management than those implicit in the draft revision to the capital Accord.

• 01 May 2001

• Risk management

Banks face challenge assessing benefits of Basel II op risk approaches, says Andersen

Calculating the benefit for banks of adopting the more complex methods of arriving at an operational risk capital charge is very challenging because of uncertainties over the factors involved.

• 01 Apr 2001

• Risk management

Basel discussion document will centre on internal measurement approach

Global banking regulators intend to issue in June or July a special discussion document on operational risk in the context of Basel II, the new capital adequacy accord proposed for large international banks from 2004.

• 01 Apr 2001

• Risk management

EU anticipates critics in its Op Risk charge proposals

While debates still rumble on over the new Basel capital accord, the European Union Commission's capital adequacy rules are prompting another set of arguments.

• 01 Mar 2001

• Risk management

Regulators may issue Basel II discussion document in response to banker fears

Global banking regulators are likely to issue an interim discussion document in June or July on their proposals for a new bank capital accord, in a response to banker concerns about the complexity of those plans.

• 01 Mar 2001

• Infrastructure

Pricing liquidity into derivatives

Volatility

• 01 Dec 1999