basel (43)

Fitch’s publication made the news in the Financial Times recently. An extra $566bn has been announced as the figure big banks will need to meet the tougher Basel III bank capital standards.
But how will financial institutions meet these steep capital requirements? Find out at Euromoney’s Basel III: The Resolution Conference.

Hear from commercial giants including Lloyds Banking Group, Rabobank, Commerzbank and Unicredit on their strategies for optimising capital in light of the Basel III guidelines

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Maturity across the Counterparty Credit Risk (CCR) and Credit Valuation Adjustments (CVA) space varies greatly across the industry. Our recent survey provided some interesting insights as to whether banks are ready for CCR and CVA under Basel III, thanks to detailed responses from our clients and academic participants.


We found that there are clear differences of opinion between academics and practitioners particularly when it comes to Basel III readiness for CCR. The same is reflected with rega

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Concentration Risk

Concentration risk is the "spread" of outstanding obligors or specifically the level of diversity that exists across a bank's loan portfolios. The lower the diversity, the higher the credit concentration risk.

In this blog post we look at the stress testing aspects around concentration risk and a presentation has also been attached to this journal which can be downloaded.

Click here to continue reading

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14 techniques for modelling Loss Data

In general only a handful of businesses correctly capture Operational Risk Loss Data and of those that do, only a small number of risk units in these firms are modelling their risk data in a coherent manner. After a bit of research on the internet and in various other channels, it has become relatively apparent that there isn't a comprehensive list of potential models which can be uses for understanding Operational Risk. I would have expected an analyst somewhere at some point in time to have do

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ISO 31000 for banks

A presentation on ISO 31000 for banks.

A presentation that looks at ISO 31000 in the banking domain. Why ISO 31000 is compatible with Basel, why ISO 31000 can value-add a Basel risk framework.

The presentation attached to this [ link ] will be delivered at the ISO 31000 conference in Paris on 21st and 22nd of May 2012.

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Managing a profitable balance sheet is more challenging than ever. With Basel III and the more immediate Dodd-Frank regulation on the horizon, a tool such as FTP is vital to ensure an effective centrally managed liquidity strategy. Post-crisis, whilst the economic situation is improving, allocating sufficient liquidity costs quickly and efficiently to the correct business-line is paramount.

Karin Bergeron is a trader on the CVA desk at Scotiabank. She is responsible for pricing and hedging CVA as

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The UK is out on Basel III

The Chancellor George Osborne has warned the European Union that Britain will refuse to sign up to "idiotic" proposals under Basel III.

George Osborne has warned the European Union that Britain will refuse to sign up to "idiotic" proposals that would water down tough international rules on bank capital. 

This is a very concerning development and quite astounding actually. Let's ponder on the drop out of the UK from Basel III, just as a idea for a moment: [click here to continue reading]

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Breaking down the risk silo

I often hear from many risk analysts that we need to break down the risk silo and stop measuring risk in unique disciplines. But such a statement without thinking begs the question: If the silo is so evil, why did we invent the structure in the first place?

In this quick posting we look at risk silos, why they exist, the problems with them and how to make them work.

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Banks capital reserve practices

The European Banking Authority released a statement indicating that gaps exist in the capital standards for about 20% of the regions top 48 largest banks. Meanwhile, the Bank for International Settlements has posted a relatively positive report on Asian banks loan reserve practices.

Are Asian banks in front of the game for capital management than their European counterparts?

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Funding Liquidity Risk

Basel III includes a new standard for Liquidity Risk which seems to be tripping up a few risk analysts attempting to reach this complex requirement.

In this post, we briefly look at the possible outcomes from a poorly managed liquidity risk program and the types of initiatives banks need to consider to meet the Basel III "International framework for liquidity risk measurement, standards and monitoring."

This post contains a presentation which can be downloaded 

Click here to read more

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Over Regulation is going to be our downfall

There are a huge array of regulatory mandates planned for the financial sector in the next three to five years and the potential unwanted outcomes are probably going to be diverse and multitudinous.

Ten combined regulatory afflictions would more than likely include this lot:

[1] Closing the proprietary trading desk – Volcker

[2] A CVA charge for the trading book – Basel III

[3] The countercyclical buffer – Basel III

[4] Restrictions on the types of capital that can be held – Basel III

[5] Axing of Tie

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Regulation – overcoming the challenge

In Europe, most banks have already implemented Basel II. The next step is complying with Basel III, which has significant add-ons compared to its predecessors – including much higher capital and liquidity requirements – specifically shining a torch on the so called global systemically important financial institutions (GSiFis). In the US, the Basel III compliance process is further complicated by the concurrent implementation of the Dodd-Frank financial-overhaul legislation.


Regulations these day

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Basel III or the implementation of it, is perhaps going to be more difficult to achieve than was first envisaged.
In this relatively short article, we are going to look at some of the problems that have started to appear in the Asian banking arena. It appears that what was first deemed as quite a straight forward exercise is probably not going to be so.
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 PRESENTATION at this address :


There appears to be a resurgence across the region for scenario analysis.  This interest to quantify extreme events seems to be motivated in part as an outcome from some of the banks looking to move their operational risk systems to a more advanced approach in Basel II.
While Basel-III's predecessor Basel-II doesn't require any changes to a banks operational risk framework, some
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Progress on implementing the G20 Seoul resolve for strengthening global financial stability has recently been reported as being on track.

In this blog article we are going to look at what is being done by whom and when specific deliverables are due. This is a massive mandate for the FSB and it chances on either being globally impacting or partly missing the mark, simply because of the complexity and reach within the program.

Read more by following this link 

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How Basel III impacts counterparty risk

The purpose of the presentation is to look at some of the key hurdles for Basel III but from a counterparty risk perspective.

Key areas which have been covered include some of the following:

» Understand how new requirements of Basel III impact counterparty risk.
» Gain insight into the hurdles for Asian Local Banks & Foreign Banks in Asia.
» Review how the key phases and causal factors of the Global Financial Crisis have been translated into Basel III requirements in the context of Counterparty R

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A presentation has been released by Causal Capital on how to calculate counterparty risk exposure in a bank.

The approach taken in this presentation is to look at how each department contributes to the overall framework for dimensioning Counterparty Risk measures at both a contractual and aggregated level.

The presentation can be downloaded by following this link.

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Basel III - Cracks Appear Part 2

Basel III cracks are starting to appear is a blog article PART 2 that reviews the differing opinions of regulators across the planet in respects to their unique implementation approaches for the Basel III capital and liquidity requirements.

Are disparate opinions on how to implement the accord a threat to the new Basel III mandate or an expected natural outcome of the differing banking environments across the planet.

One would expect each unique regulator to put specific emphasis on certain areas
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Basel III - Cracks Appear Part 1

Basel III cracks are starting to appear is the first part of a two part series that looks at some of the mis-conceptions being bantered around over Basel III.

In this article we argue that Basel III capital floors can't be compared with the Basel II capital approach because the entire capital and liquidity funding methods for banks is going to operate differently under the new regulation.

When I first looked at Basel III quite a few months ago now, I reviewed the accord or back then the proposed g
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