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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 cancelled CAD3) one really had to apply the “Calculus of Securitisation” across the whole bank; an analysis made pre-credit crunch which has proved to be absolutely correct. The paper can be accessed here;-


Could someone please tell me in the comment boxes, why this remains the most popular of all my blog posts on Analytic Bridge?

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Tags: Basel II, SAP, Union Legend, asymptotix


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