Capital requirements
US banks biding time on Basel II, says Dugan
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The liquidity link
Liquidity risk
Market risk regulatory capital expected to rise
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New Zealand looks afresh at capital adequacy to control lending
NZ re-considers Basel II timing
Room for improvement
Sungard tops our survey of software vendors, its products proving a hit across the op risk and compliance spectrum. But op risk executives continue to demand more from the software industry, reports Dianne See Morrison
Transatlantic regulatory convergence inches closer
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Barroso urges EU-US regulatory convergence
José Manuel Barroso singled out regulatory and standards convergence as key areas for EU-US relations
Dealing with seller's risk
The risk of trade receivables securitisations comes from both the pool of assets and the seller of the assets. Vivien Brunel develops a model for securitisation exposures that deals with both risks, and analyses in detail the interplay between debtors'…
The capital calculation question
Industry comments on Basel II have concentrated most on corporate credits. But the modelling of retail portfolio risk is a new field, and there is much greater scope for disagreement about how capital should be calculated.
Sponsor's article > Expected Positive Exposure: Achieving Basel II Compliance Strategically
Enhancements to Algo Capital provide robust and realistic EPE values for counterparties across the trading book, while taking into account complex forms of credit mitigation.
Rating properties and their implications for Basel II capital
Internal ratings
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…
The Road to Compliance
In the race to meet new regulatory compliance, CIOs have their hands full. How close are they to the finish line?
A capital solution
Securitisation appears to offer clear regulatory capital benefits to owners of life insurance companies. Will other European banks follow Barclays' lead?
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…
Observations on the differences between operational risk regulatory and economic capital
In this article, Niklas Hageback takes a practical look at the difficulties in reconciling regulatory and economic capital calculation in the discipline of operational risk.
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…
Quant of the year - Michael Gordy, US Federal Reserve Bank
Credit risk specialist who is highly influential with academics and practitioners alike.
Capital calculations
The latest Committee of Chief Risk Officers white paper offers capital adequacy guidelines for energy merchants. But why should energy firms perform these calculations? Glyn Holton asks whether the CCRO has missed the point
Sponsor's article > Credit risk catches up
When Basel II was first proposed in 1999, credit risk models lagged way behind market risk models. But that's changed, which means we need less prescriptive rules for determining credit risk capital.
Despite concerns, banks act on Basel II
Jörg Behrens and Peter Davis of the Ernst & Young Global Financial Services Risk Management Practice, present the results of a global survey of financial services managers'opinions about the future of the Basel II process and its effects on their…
A capital adequacy primer
A summary of the Committee of Chief Risk Officers’ (CCRO) emerging guidelines on capital adequacy, by Cinergy’s Antonio Ligeralde, Kenneth Robinson of El Paso Merchant Energy and CCRO head Michael Smith
Economic capital versus regulatory capital – a market benchmark
Guido Giese sets out to provide a market benchmark for the relationship between economic andregulatory capital models currently used or developed across different financial institutions, andto analyse the market forces driving the development of economic…