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All Blog Posts Tagged 'Basel II' (5)

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Michael McAleer, Econometric Institute, Erasmus University Rotterdam and Department of Applied Economics, National Chung Hsing University, Taiwan



&



Juan-Angel Jimenez-Martin, Department of Quantitative Economics, Complutense University of Madrid



&



Teodosio Pérez-Amaral, Department of Quantitative Economics, Complutense University of Madrid



May 2009



CONCLUSION (EXTRACT)



In this paper we defined risk management… Continue

Added by John A Morrison on May 25, 2009 at 1:00am — No Comments

Basel II in Switzerland 9th January 2009 update

In Switzerland the EBK (www.ebk.admin.ch) is entrusted with (Basel II) implementation. Under its leadership a mixed national working group, made up of representatives of all relevant interest groups in the Swiss financial industry, is working out the appropriate Swiss legal regulatory standards. In Switzerland all the menu approaches offered by Basel II are being implemented, and are therefore in principle available to every institute.…



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Added by John A Morrison on January 26, 2009 at 5:30am — No Comments

Basel Committee Trading Book Requirements ”Revision Proposals”

The consultative papers Revisions to the Basel II market risk framework and Guidelines for computing capital for incremental risk in the trading book set out the Committee's proposed enhancements to the regulatory capital treatment for trading book exposures. Collectively, these are referred to as the "trading book proposals".



The Committee therefore proposes to require banks to calculate a stressed VaR taking into account a one-year observation period relating to significant losses,… Continue

Added by John A Morrison on January 18, 2009 at 4:00am — 3 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

SAP White Paper on a Solution Architecture for Economic Capital Quantitative Analytics, pre Credit Crunch

John A Morrison developed a comprehensive White Paper for SAP, published in April 2006, pre-credit crunch, on the topic of a Solution Architecture for Economic Capital Quantitative Analytics; Basel II Pillar 2 (B2P2). This prescient WP pointed out then, that the reality of banking quantitative risk capital analysis was the reverse of the way it seemed, the shadow banking tail was wagging the main street lending dog and to quantify risk capital properly (as required by the now effectively… Continue

Added by John A Morrison on January 11, 2009 at 3:00am — No Comments

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