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All Blog Posts Tagged 'B2P2' (2)

Proposed enhancements to the Basel II framework

The Basel Committee has proposed this weekend root and branch, fundamental revisions of the Basel II Framework in all three pillars Pillar 1 (minimum capital requirements), Pillar 2 (supervisory review process) and the third pillar (market discipline); reflecting particular concern about the trading book, ABCP Conduits, Structured Products and more particularly Banking Supervision (as opposed to regulation). The impacts of the proposed changes to Pillar 3 (Disclosure) look unusually interesting… Continue

Added by John A Morrison on January 18, 2009 at 3:00am — No Comments

Stress testing credit risk: a survey of authorities' approaches

by Antonella Foglia, Banca d’Italia, Banking and Financial Supervision



This paper reviews the quantitative methods developed at selected authorities for stress testing credit risk, focusing in particular on the methods used to link macroeconomic drivers of stress with bank-specific measures of credit risk (macro stress test). Authorities with a mandate for financial stability are particularly interested in quantifying the macro-to-micro linkages and have developed specific modeling… Continue

Added by John A Morrison on January 12, 2009 at 3:00am — No Comments

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