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

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 name but a few. Above a PD of 0.03% (the minimum for non-public entities), we […]

Tougher measures on capital requirements proposed by the regulators

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 how much capital they need to hold to cover trading book risks, as a backstop […]

Technologies required to improve (ORM) Operational Risk Management

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 defined as “the risk of loss resulting from inadequate or failed internal processes, people and […]

Operational risk and regulation

  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 pressures in the immediate future.  The survey which took opinions from financial organisations across the […]

Tougher regulation in the repo market

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 regulators have set out proposals for enhanced ratios and larger capital cushions. If implemented Basel […]

We are using cookies on our website

Please confirm, if you accept our tracking cookies. You can also decline the tracking, so you can continue to visit our website without any data sent to third party services.