Model calibration
Regulatory capital volatility
When the consultation period ends, what calibration of risk weights will Basel finally decide on? Here, Esa Jokivuolle and Samu Peura demonstrate that the ratings sensitivity of risk weights may require Basel to think more carefully about the…
Implications of Basel for credit risk
Credit risk comes under the spotlight in Pillar one of the new Accord, forcing institutions to consider the benefits – and costs – of meeting the regulatory requirements. Jared Chebib, head of credit risk consulting at Andersen’s London office reports.
A beginning, not an end...
There's a host of operational risk issues still to be ironed out by the global banking industry and its supervisors. Bank regulator Jeremy Quick considers the key questions.
If the skew fits
Volatility