Technical paper
Factoring in volume risk
Corporate risk management
Reconciling ratings
Basel II
Reconciling ratings
How should internal credit ratings be calibrated to long-term default rates? This multibillion-dollar question is at the heart of the debate over Basel’s IRB approach. In thisarticle, Stefan Blochwitz and Stefan Hohl use simulations to demonstrate wide…
Regulatory capital volatility
Basel II
Weighting for risk
Basel II
IRBapproach explained
Basel II
Weighting for Risk
Basel has recognised that collateral and seniority give banks an advantage when an obligor defaults. Here, Jon Frye argues that the proposal may encourage banks to lend on the collateral – a practice that could threaten their own survival – and proposes…
Regulatory capital volatility
When the consultation period ends, what calibration of risk weights will Basel finally decide on? Here, Esa Jokivuolle and Samu Peura demonstrate that the ratings sensitivity of risk weights may require Basel to think more carefully about the…
IRB approach explained
At the end of this month, the consultation period for the new Basel Accord on bank capital will end. We have prepared a technical section this month devoted to various issues surrounding Basel II. In the first paper, Tom Wilde sheds light on the…
Hedging electoral risk
New markets
Modelling default correlation
Credit risk
The relativity of volatility
Stress testing