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Calculating IRB formula for capital requirements in Basel II – The HangZhou Constant

Posted on by aldopuch

By: Fred Vacelet, Eureka Financial Faculty The Basel II text, in its IRB (Internal Rating Based) formula for capital requirements, ignores a few unpleasant properties of the calculations when PDs are low: capital requirements negative, division by 0, non-monotonicity, to … Continue reading

Posted in Banking Regulations, Basel II / III, Risk Management | Tagged , | Leave a comment

Tougher measures on capital requirements proposed by the regulators

Posted on by aldopuch

By: FT.com Global regulators on Thursday proposed new measures to toughen up the regime that governs capital requirements for banks’ trading books. The Basel Committee on Banking Supervision issued a consultation paper proposing that banks use a standardised approach to determine … Continue reading

Posted in Banking Operations, Financial Markets, Regulation, Risk Management, Trading | Tagged , , , | Leave a comment

Technologies required to improve (ORM) Operational Risk Management

Posted on by aldopuch

Thompson Reuters published an interesting report available on Risklibrary.net discussing the specific technologies required for firms to improve their ORM processes, including ORM platforms, policy and procedure management, regulatory change management, and real-time risk intelligence. Defining ORM scope Operational risk is … Continue reading

Posted in Banking Operations, Banking technology, Operational Risk Management, Regulation, Risk Management | Tagged , , , | Leave a comment

Operational risk and regulation

Posted on by aldopuch

  Impact of Basel III and Dodd-Frank Act A survey conducted by Chartis Research has revealed that capital adequacy requirements linked to Basel III and the Dodd-Frank Act are expected to be leading sources of regulatory and operational risk management … Continue reading

Posted in Banking Operations, Corporate Governance, Operational Risk Management, Risk Management | Tagged , , , , | Leave a comment

Tougher regulation in the repo market

Posted on by aldopuch

The Basel Committee on Banking Supervision may have recommended a minimum 3% capital holding to cover repo deals but globally regulators now seem to be tightening the rules still further.  Within the past month both the US SEC and European … Continue reading

Posted in Bonds, Money Markets, Repo Market | Tagged , , , , | Leave a comment