Loss given default (LGD)

Basel II: capital concerns

Basel II has forced banks, long the mainstay of lending to European corporates, to re-evaluate the amount of money they lend. However Alan McNee reports that far from leading to a huge drop in bank lending, Basel II may actually have the opposite effect.

Basel harmony still a long way off, notes IIF

“No-one really appreciated the complexity of the whole [Basel Accord] process,” says Charles Dallara, managing director at the Institute of International Finance (IIF). “It is only in the last nine months that regulators and bankers have woken up to the…

Quantifying operational risk

This is the fifth of Charles Smithson's latest series of Class Notes, which will run in alternate issues of Risk through to the end of 2004. Class Notes is an educational series, designed to pull together the threads of recent developments and thinking…

Sponsor's article > Basel II: change is good

Basel II is an opportunity for banks to modernize and upgrade their risk practices, policies and technology to manage risk in a holistic fashion. Alliance & Leicester, a UK based financial institution with assets of over €55 billion, took early advantage…

Basel II Alert - Highlight of Critical Changes

It has been more than six years in the making, but the final text of the Basel II framework has arrived. The Basel Committee on Banking Supervision published the text at the end of June to a mix response from the financial services industry.

Bringing credit portfolio modelling to maturity

Michael Barco shows how to perform mark-to-market credit portfolio modelling by extendingthe well-known saddle-point technique, introducing spread and recovery rate volatility. Hethen tests his results on a fictitious portfolio, showing how asset…

Bringing credit portfolio modelling to maturity

Michael Barco shows how to perform mark-to-market credit portfolio modelling by extending the well-known saddle-point technique, introducing spread and recovery rate volatility. He then tests his results on a fictitious portfolio, showing how asset…

A-IRB is overly prescriptive, say US banks

Several US banks would like to see a full internal models-based approach to regulatory capital. According to their response to the Advance Notice of Proposed Rulemaking (ANPR) on the implementation of the new Basel Capital Accord, the banks said the…

Does CP3 get it right?

The Basel Committee on Banking Supervision's third consultative paper raises several complex issues, not least of which is: will it work in practice?

Accord preparations: the rest is yet to come

While the debates have raged for months about many aspects of the proposed Basel II Accord, on some points there has been relative silence, in particular with regard to the seeming overreliance on statistical techniques.

Taking it slow

Hong Kong's banks are, for the most part, targeting the standardised approach outlined in the new Basel capital Accord, but it is hoped that this will act as a catalyst for the further improvements in risk management.

Sponsor's article > No cure through the cycle

Some have argued that the antidote for pro-cyclicality in the Basel II capital requirements is the use of 'through-the-cycle' estimates of default and recovery rates. David Rowe argues that, whilethis might mitigate the pro-cyclical impact of the Accord,…

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)…

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.

Correlation and credit risk

Active development of full credit portfolio modelling continues apace, even though it is not recognised in the proposed Basel II framework.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here