Technical paper/Regulation

Nuclear fusion R&D

In 50 years, nuclear fusion may be a major source of energy, but until then extensive research and development is needed. To justify the current and future R&D expenditure, a cost-benefit analysis designed specially for this sector is required. David…

Caring competition

What are the theoretical consequences of restructuring electricity markets on emissions? Here, Benoît Sévi shows that changes in supply and consumption and restructuring for competition has environmental effects, and argues that strong public policies…

Detecting market abuse

Financial regulators need a way to detect market abuse in real time. Marcello Minenna has developed such a procedure that can detect, for each quoted stock and on a daily basis, the presence of market abuse phenomena by means of a set of tripwires that…

Detecting market abuse

Financial regulators need a way to detect market abuse in real time. Marcello Minenna has developed such a procedure that can detect, for each quoted stock and on a daily basis, the presence of market abuse phenomena by means of a set of tripwires that…

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…

PD estimates for Basel II

One of the main issues banks will have to face to comply with the new Basel II internal ratings-based approach is to prove that the long-run average probabilities of default they assign to their clients, which will be used as the basis for regulatory…

An integrated framework for the governance of companies

Cases of insolvencies, losses and internal frauds have been increasing of late. As a result, the question is asked more and more often whether such cases could have been avoided with better governance of companies or a clearer organisational handbook. In…

Constructing an operational event database

Michael Haubenstock of US bank Capital One outlines a framework for an event database, formulated with current US regulatory guidance on the subject in mind. The text is an abstract from The Basel Handbook, which has just been published by Risk Books.

The score for credit

Jorge Sobehart and Sean Keenan discuss the benefits and limitations of model performance measures for default and credit spread prediction, and highlight several common pitfalls in the model comparison found in the literature and vendor documentation. To…

How good is your information?

Fraud, opaque accounting practices and incomplete data are unavoidable. Butare they factored into a credit risk forecast? An emerging class of models doesthe job by assuming incomplete information. Barra's Lisa Goldberg explains.

Mark up the scorecard

Sergio Scandizzo and Roberto Setola explore the application of a scorecard approach to the measurement of operational risk, assessing both its reliability as a risk-management tool and the practicalities of its implementation.

Benchmarking asset correlations

Basel II stipulates that the asset correlation to be used in calibration of obligor risk weights is20%. Here, Alfred Hamerle, Thilo Liebig and Daniel Rösch use a parametric model to empirically obtain asset correlations from a large database of…

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