Technical paper/Basel Committee on Banking Supervision (BCBS)
Name concentration correction
Credit Risk
Continuing to rebuild
Degrees of influence
Name concentration correction
Name concentration correction
Constructing an operational event database
Michael Haubenstock of US bank Capital One outlines a framework for an event database, formulated with current US regulatory guidance on the subject in mind. The text is an abstract from The Basel Handbook, which has just been published by Risk Books.
Probing granularity
Basel II
Reconciling ratings
Basel II
Regulatory capital volatility
Basel II
The maturity offset problem
Regulation
VaR-x: Fat tails in financial risk management
To ensure a competent regulatory framework with respect to value-at-risk (VaR) for establishing a bank's capital adequacy requirements, as promoted by the Basel Committee on Banking Supervision, the parametric approach for estimating VaR needs to…