Risk-adjusted return

Sponsor's Article > What are loan loss reserves?

Few things are more frustrating to businesses than to be subjected to contradictory requirements by multiple authorities. Modest inconsistencies are glossed over with little or no harm. David Rowe argues, however, that conflicting definitions of loan…

Economic capital – how much do you really need?

Economic capital is becoming the language of risk. While market, credit and operational risk have different determinants and use different methodologies, the levels of risk can all be summarised in a common dimension – the amount of economic capital…

Optimise this

One of the reactions to recent energy trading difficulties has been a shift away from speculative activities towards portfolio optimisation, but what does the term really mean, ask Tim Essaye and Brett Humphreys

S&P says Basel II helping to improve German banking

FRANKFURT – The proposed Basel II bank safety rules, weak operating performance and shareholder value considerations are behind a trend to more efficient capital allocation, prudent cost control and risk-adjusted pricing in German banking, a leading…

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…

Capital thinking

Manuel Méndez aims to have BBVA among the first to qualify for Basel II’s advanced risk capital approaches.

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…

Why Basel must brush-up on credit

Paul Kupiec of the International Monetary Fund argues that unresolved calibration problems remain with the new Basel Accord’s credit risk capital requirements – problems that may lead banks to make damaging risk decisions.

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