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UCITS IV and Risk Management in Luxembourg - new circular from CSSF (11/508)

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.

The purpose of this circular is to clarify the main adjustments that each management company currently subject to Chapter 13 of the Law of 20 December 2002 regarding undertakings for collective investment shall comply with in order to comply by 1 July 2011 with Chapter 15 of the Law of 17 December 2010 relating to undertakings for collective investment and CSSF Regulation 10-4 transposing Commission Directive 2010/43/EC of 1 July 2010.

In this context the CSSF requests each management company to submit until 1 June 2011 at the latest an update of its application for authorisation completed with the new requirements under the 2010 Law and the Regulation 10-4.

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

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

UK Financial regulation - from Tripartite to ‘Twin-peaks’

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

The Treasury Committee

Seventh Report of Session 2010-11Lion Door Handle
Volume I

 

asymptotix - identifiable preferably private sector users

 

 

this is a 'be nice to customers' place

 

Default Factor Modelling Blueprints from JAM Analytic Bridge Blog (ABBU)

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).

The theory of how the financial system created AAA-rated assets out of subprime mortgages

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.

The "Wiki-Leak" of Risk Management

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

Basel III rules text and results of the quantitative impact study QIS issued by the Basel Committee

 

This is the Basel III / CRDIV rules & stipulations page

 

there are 2 related TAGs or TOPICs on asymptotix (collections of pieces by subject)

BASEL3 & CRD4

 

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.

Group of banks by exposure to sovereign risk (% of TBV), includes Greek, Irish and Portuguese sovereign bonds

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 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 Riksbank: Basel III - tougher rules for banks

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. The new regulations entail that the banks must maintain more and considerably better capital and that rules covering banks’ liquidity will be introduced. The main message of this box is that the Swedish banks are well-capitalised and are already complying with the new regulatory framework, in all essentials. Consequently, the implications of the new regulations for both the macroeconomy and monetary policy in Sweden will be minor.

The financial crisis exposed a series of shortcomings in existing regulations and in the supervision of thefinancial sector, as well as in financial companies’ ability to bear and manage risks. Above all, this was a matter of the banks having neither sufficient high-quality capital to cover the losses in their operations nor sufficiently extensive liquidity buffers to manage their funding in a period in which confidence in the banks was being questioned and several financial markets had collapsed. In addition, supervision and regulation previously paid too little attention to systemic risks. This means that supervision and regulation were excessively focused on ensuring that individual financial companies were sufficiently capitalised and resilient. However, this was not enough to capture the overall risks that had built up in the system as a whole. In September 2009, the Basel Committee therefore initiated extensive efforts to strengthen capital requirements for banks, to introduce minimum liquidity requirements for banks, and to formulate new regulatory tools to manage systemic risks. The Basel Committee on Banking Supervision is a committee under the Bank for International Settlements (BIS) which, among other tasks, develops international standards for the regulation and supervision of banks. The BIS has no mandate to introduce regulations, but coordinates the regulatory frameworks of the 27 participating countries, including Sweden.

Basel III, what is currently being implemented?

In September of this year, the Basel Committee reached agreement on the principles by which the new, more stringent minimum regulations for banks’ liquidity should be formulated, as well as a timetable for the introduction of the new regulations. The new regulations will be phased in gradually. The new, more stringent capital requirements will be introduced successively, starting in January 2013, and are to have been fully introduced by January 2019. The start of the introduction of the liquidity regulations is planned for 2015, and these are to have been fully introduced by 2018.

IMPOSING A SYSTEMIC RISK CHARGE: the Issing Commission

Criteria for a workable approach towards bank levies and bank restructuring

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

link

Martin Baxter - Counterparty Credit Risk - SFRA Scottish Financial Risk Academy presentation

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

Prof Damiano Brigo - SFRA - Credit Models Pre- and In-Crisis: Extreme Scenarios and Systemic Risk in Valuation

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!

The Scottish Financial Risk Academy

blue butterfly asymptotixLast 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: ISSUE

 

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

London - 9 March 2010 Bob's Guide

ZERO COUPON YIELD CURVE: March 2010

SIAG ZERO COUPON YIELD CURVEMy 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!

Keynesian futurism on a wing and a prayer BBC SPINS KING

version 2
5th July 2012

 

a political manifesto for asymptotix?

defining asymptotix as NOT what my friend is ....!

This page is absoloutely crucial to everything I say in the Political Economy domain on asymptotix. It was first blogged as an immediate demolishment of one of my oldest friends' re-propositioning of neo-Keynesian 'New Labour' macroeconomic policies predicated on what I call the 'Golden Multiplier' fantasy of New or Neo-Keynesianism. This is a different type of Keynesianism to that of Krugman which has really grabbed the agenda in 2011 / 2012. The comments and references below the main body of this blog post are references to serious academic and journalistic comment and critique in this debate including something from Ian Fraser (@Ian_Fraser) making the old Scottish triumvirate representative here on this page.

There is a key Economic Policy aspect to the content on this page & that is the idea that CROWDING OUT does exist (or see the CROWDING OUT tag) that is that government spending does not facillitate further private investment in some magic multiplied 'golden rule' way; in fact government spending crowds out the private sector; soaks up the whole Money Supply. This Credit Crisis has killed the old neo-Keynesian ideas forever I think but there is one more implication which is that Rational Monetary rules are a key policy for Central Authorities even in depression-type-crises. Central Authorities have to regard themselves as participants (not like any other) in a market or community process. Central Authorities cannot do what the hell they like, they must be 360 Rational if you like & have concern for the Expectations of other particpants. Here Endeth the Lesson but it is a crucial Macroeconomic and Political Ecomomic principal and pivotal to everything we promulgate here on asymptotix!

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