Technical paper
Pro-cyclicality in the new Basel Accord
Could Basel II worsen recessions? By backtesting the proposed capital rules to the last recession, D. Wilson Ervin and Tom Wilde argue that the increased risk sensitivity of loan portfolio regulatory capital in the new Accord could have unwelcome…
Core satellite investing: harmony through separation
Asset allocation
Firm-wide risk management for funds
Firm-wide risk
The destructive power of ‘best practice’
Capital management
Image options and the road to barriers
Barrier options
VAR: who contributes and how much?
Portfolio risk management
Probing granularity
The granularity adjustment, which adjusts risk weightings for credit portfolio diversification, is one of Basel II’s key modelling assumptions. Here, Tom Wilde uncovers a weakness in this assumption arising from the differences in the underlying credit…
Changing history
Equity risk management
How dependent are defaults?
Credit portfolio management
Plugging into electricity
Commodities