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This is a non-official translation from the French original.

Luxembourg, 15 April 2011

To all Luxembourg management companies subject to Chapter 15 of the Law of 17 December 2010 relating to undertakings for collective investment and to SIAGs within the meaning of Article 27 of the Law of 17 December 2010 regarding undertakings for collective investment.

Table Of Contents

• Credit Risk: Minimum Regulatory Capital Requirements For Securitization Exposures
• Credit Risk: Supervisory Haircuts On Securitization Collateral
• Market Risk: Securitization Exposures
• The Cost Of Securitization Is Likely To Rise
• Appendix: Summary of Changes

Tougher Capital Requirements Under Basel III Could Raise The Costs Of Securitization

Financial Regulation: a preliminary consideration of the Government's proposals

The Treasury Committee
Seventh Report of Session 2010-11
Volume I

here

this is a 'be nice to customers' place

The Default Factors are 'Probability of..' / 'Loss Given ..' etc etc (there are more spohisticated variants and inverts which can be deployed), alot of people find these difficlult to get their heads around (I sympathize, I did too, at the beginning); and then you have to integrate them into a macro-factor model to estimate risk capital (an oversimplification I know).

This diagram is from a 2008 IMF report and was included at the Financial Crisis Inquiry Commission website.

The diagram shows how mortgages were combined into pools and rights to the cash flow from these mortgages sold to investors via residential mortgage-backed securities (RMBS). High-risk RMBS securities were purchased by legal entities called collateralized debt obligations (CDO) which issued another layer of securities to investors.

Click on the diagram for a larger version in a new window.

This is a great resource for anyone interested in Risk Management and Compliance: Riski, the Financial Market Regulatory Resource, aka FreeRisk: here

Banks across the world will need to raise nearly €600 billion ($793 billion) in extra capital as a result of new rules designed to prevent another global financial crisis, the Bank for International Settlement said Thursday.

Figure: Groups of banks by exposure to sovereign risk (% of TBV). Includes Greek, Irish and Portuguese sovereign bonds (identified).

The Changing Face of Risk - Addressing the Skills Gap - role of CRO. The financial crisis and recession have raised acute challenges, in particular how risk should be assessed and managed.

The Basel Committee recently presented a new regulatory framework for banks, the so-called Basel III. Essentially, it covers new and tougher rules for capital and liquidity in the banking sector. These more stringent rules are aimed at strengthening banks’ capacity to absorb risks and reduce the risk of new banking crises arising in the future. This box presents Basel III, together with the findings of two studies regarding the macroeconomic consequences of the more stringent regulations.

Criteria for a workable approach towards bank levies and bank restructuring

Otmar Issing (Chairman), Jan Pieter Krahnen, Klaus Regling, William White

link

Martin Baxter, Nomura International, presented Counterparty Credit Risk at the Scottish Financial Risk Academy (SFRA) Inaugural Colloquium in Edinburgh on the 4 November 2010.

Download his Presentation here!

Damiano Brigo (www.damianobrigo.it), Gilbart Professor of Mathematical Finance, Dept. of Mathematics, King’s College, London, presented Credit Models Pre- and In-Crisis: Extreme Scenarios and Systemic Risk in Valuation at the Scottish Financial Risk Academy (SFRA) Inaugural Colloquium in Edinburgh on the 4 November 2010.

Download the Presentation here!

Last month, the Scottish Financial Risk Academy was announced. Having been second to none for decades, the reputation of Scots as Risk Managers has taken a wee bit of hammering of late and the establishment of this initiative through the Scottish Parliament and with significant private sector support is a unique effort in part to redress that balance.

Acquisition of RiskMetrics by MSCI Barra could standardise VaR measurement and increase systemic risk, says EM Applications

London - 9 March 2010 Bob's Guide

My partners at Siag in Madrid are in a development process, at the finalisation of a Software product launch, for a new product called 'Price Manager', I get to see early screen shots, now and again, just glimpses of the future as it waits to be rolled out, growling like all good cyborgs do!

BBC SPINS KING