Probability of default (PD)
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.
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.
Basel's new credit model
The Basel Committee’s new consultative paper allows banks to internally rate individual credits. But at the portfolio level, Basel wants to apply a single model framework, based in part on a technical paper published in Risk magazine in October 1998.
Five reasons why regulators should approve the loss-distribution approach
The Basel Committee shied away from the most risk-sensitive way of calculating an op risk charge, says Michael Haubenstock. He argues for a green light.
The long and the short of it
Investment management
Reconcilable differences
H Ugur Koyluoglu and Andrew Hickman explore the common ground between the new credit risk models and the implications for risk management and regulatory capital reform.