Basel Committee releases two reports
The Basel Committee on Banking Supervision released two reports this morning—one on risk integration and aggregation and second on operational risk transfer. The papers are authored by the Joint Forum, which is composed of members of the Basel Committee, the International Organization of Securities Commissions, and the International Association of Insurance Supervisors.
The first paper, "Trends in risk integration and aggregation," contains a survey of practices at 31 financial firms in 12 jurisdictions on how they integrate the management of risk on a firm-wide basis. It also looks at efforts to aggregate risks through mathematical models, such as economic capital frameworks. The paper, overall, takes a cautious approach to the use of economic capital models from a supervisory perspective, and urges supervisors to improve their understanding of
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