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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.

BIS - Joint Forum recommends improvements in risk aggregation models

The report suggests improvements to the current modelling techniques used by complex firms to aggregate risks. It also examines supervisory approaches to firms' use of risk aggregation models, particularly in light of the global financial crisis.

 

Mr Tony D'Aloisio, Chairman of the Joint Forum and Chairman of the Australian Securities and Investments Commission, said "This report is essential reading for firms considering ways to make more effective use of risk aggregation methods, and for supervisors wanting to understand firms' use of risk aggregation models to help identify shortcomings in a firm's approach."

Banks and Basel III - blackmail or chainmail?

by Robert McDowell

 

Will the various new so-called “Basel III” rules make the world safer from financial crises? There should not be a short answer to such a complex question – but my answer is yes, and no, not much either way, and, looking back, taking the metaphor of New Orleans sea defences and levees, higher equity in banks core capital reserves means the same as adding only inches to the height of ‘sea defences’. Protecting the financial system is a systemic challenge; individual breaches in flood defenses may be contained or lead to general failure.

Erecting barriers, by setting global prudential standards, to prevent calamity is the job of the Basel Committee on Banking Supervision (BCBS), to mitigate, prevent or postpone, another Credit Crunch, its job is to agree techniques, laws, rules and guidelines to resist a 1/25 tidal surge or the 1/100 that some say defined the Credit Crunch.

The Business Cycle and Basel III

I have been reading an interesting synopsis of Basel 3 this week. I noted this analytic of Basle III in relation to what asymptotix has been publishing about Ben Bernanke yesterday; 

Monetary Policy Objectives and Tools in a Low-Inflation Environment 

European lawmakers are urging European Union policymakers in Brussels to fine-tune the new Basel III rules on bank capital

European lawmakers are urging European Union policymakers in Brussels to “fine-tune” the new Basel rules on bank capital, which were agreed internationally last month, when applying them to EU institutions. The Basel III framework was hammered out by the Basel Committee on Banking Supervision, the global rule-making body, in September, and the new standards are seen as one of the most important regulatory reforms since the financial crisis. They will be implemented in Europe via a legislative package known as CRD IV, which the European Commission will propose either later this year or early in 2011. That will require approval from both the EU’s 27 member states and the European Parliament.

Wolters Kluwer Financial Services Acquires FRSGlobal

Wolters Kluwer Financial Services, a comprehensive regulatory compliance and risk management business, today announced the acquisition of FRSGlobal, a Brussels-based global financial regulatory reporting and risk management business, from The Carlyle Group and growth equity investor Kennet Partners.

Official BIS: Group of Governors and Heads of Supervision announces higher global minimum capital standards Basel III

 

HEALTH WARNING : THIS MAY REQUIRE THE ADOBE PDF FACILITY,

IT DOES GO ON A BIT; BUT IS NEVERTHELESS WORTH IT

 

At its 12 September 2010 meeting, the Group of Governors and Heads of Supervision, the oversight body of the Basel Committee on Banking Supervision, announced a substantial strengthening of existing capital requirements and fully endorsed the agreements it reached on 26 July 2010. These capital reforms, together with the introduction of a global liquidity standard, deliver on the core of the global financial reform agenda and will be presented to the Seoul G20 Leaders summit in November.

The Committee's package of reforms will increase the minimum common equity requirement from 2% to 4.5%. In addition, banks will be required to hold a capital conservation buffer of 2.5% to withstand future periods of stress bringing the total common equity requirements to 7%. This reinforces the stronger definition of capital agreed by Governors and Heads of Supervision in July and the higher capital requirements for trading, derivative and securitisation activities to be introduced at the end of 2011.

German Banks May Need 105 billion euros to Meet Capital Rules, Trade Group Says

Germany’s 10 biggest lenders, including Deutsche Bank AG and Commerzbank AG, may need about 105 billion euros ($135 billion) in fresh capital because of new regulation, the Association of German Banks said. The lenders would need to raise that sum to reach an estimated 10 percent Tier 1 capital ratio, a key measure of financial strength, according to Dirk Jaeger, who is responsible for regulatory topics at the group. The association said higher capital requirements, set to be proposed tomorrow by the Basel Committee on Banking Supervision, may endanger the economic recovery by limiting the ability to lend.

BarCap on Basel III and “tier one” equity capital

Big US banks should be able to meet tighter global capital requirements without having to raise substantial amounts of new equity, according to calculations by Barclays Capital.

The analysis by BarCap’s debt capital markets group estimates that the 35 largest US banks will have to come up with half as much new capital as had been expected following last month’s rewrite of proposed requirements by the Basel Committee on Banking Supervision

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