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John A Morrison's Blog – November 2008 Archive (4)

EU banks' liquidity stress testing and contingency funding plans

This report carried out by the Banking Supervision Committee (BSC) with the help of its Task Force on Liquidity Stress Testing and Contingency Funding Plans (hereinafter referred to as the “Task Force”) contains insights into the range of bank practices in these areas and assesses their adequacy in the light of recent fi nancial market stresses. It is mainly based on four sources: a literature review, two workshops with market participants, a survey of relevant practices among 84 EU banks and… Continue

Added by John A Morrison on November 29, 2008 at 3:00am — No Comments

How might the current financial crisis shape financial sector regulation and structure?

Keynote address by Már Gudmundsson, Deputy Head of the Monetary and Economic Department of the BIS, at the Financial Technology Congress 2008, Boston, 23 September 2008



The current financial crisis was triggered by increasing defaults on subprime mortgages and the turn of the housing cycle in the United States. However, it had deeper causes in the under-pricing of risk and debt accumulation in several countries during the period of low real interest rates and easy access to credit.… Continue

Added by John A Morrison on November 28, 2008 at 3:00am — No Comments

Supervisory guidance for assessing banks' financial instrument fair value practices through the Pillar 2 supervisory review process

The application of fair value accounting to a wider range of financial instruments, together with experiences from the recent market turmoil, have emphasized the critical importance of robust risk management and control processes around fair value measurements. Moreover, given the significance of fair value measurements for regulatory capital adequacy and internal bank risk management it is equally important that supervisors assess the soundness of banks' valuation practices through the Pillar… Continue

Added by John A Morrison on November 26, 2008 at 3:30am — No Comments

REvolution Computing Joins with Columbia University to Host Conference on Computational Finance with R

REvolution Computing, the leading commercial provider of software and support for the open source statistical computing language, "R," will sponsor and co-host a conference and workshop about using statistical computing with R in finance, Computational Finance with R, at Columbia University on Thursday, December 4, 2008.

The conference will bring together academics and practitioners in computational finance to showcase the efficacy of statistical computing with R in many areas of… Continue

Added by John A Morrison on November 10, 2008 at 3:30am — No Comments

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