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Banks win battle to tone down Basel III

Plans by global regulators to compel banks to set aside billions of dollars in extra capital to cope with future crises are to be pared back after intense lobbying by the industry. After wrangling over the details of a regulatory overhaul published six months ago, a consensus on the Basel committee is suggesting that its proposals be thinned down. A draft of the latest thinking of the committee, set up to oversee global financial regulation, is to be presented at this weekend’s G20 summit in Toronto.

Adjustments to the Basel II market risk framework announced by the Basel Committee

The Basel Committee on Banking Supervision has agreed on certain adjustments to the document Revisions to the Basel II market risk framework (the market risk revisions). This revised market risk framework was released in July 2009 and covered the following areas:

Exchange Traded Everything

Asymptotix is today releasing a new paper:  

Risk Management: A Differential Diagnosis.

Banks call for Basel III rewrite as QIS exercise ends

QIS spreadsheet depicting Operational riskThe industry hopes the impact study will lead to a rewrite of proposed new rules on capital, liquidity and leverage. Banks had until end of April 2010 to submit a 21-page, 3,000-row spreadsheet to the Basel Committee on Banking Supervision – and believe the results will cause a major rethink of rules the Committee proposed last December, or at least persuade it a fresh round of consultation is needed.

The term macroprudential - origins and evolution

In the wake of the recent financial crisis, the term “macroprudential” has become a true buzzword. A core element of international efforts to strengthen the financial system is to enhance the macroprudential orientation of regulatory and supervisory frameworks. Yet the term was little used before the crisis, and its meaning remains obscure. This special feature traces the term’s origins to the late 1970s, in the context of work on international bank lending carried out under the aegis of the Euro-currency Standing Committee at the BIS. It then describes its changing fortunes until its recent rise to prominence.

European Commission plans stricter rules for banks

The European Commission has launched a public consultation on further possible changes to the Capital Requirements Directive (CRD) aimed at strengthening the resilience of the banking sector and the financial system as a whole. The proposed changes, known as 'CRD IV', following two earlier Commission proposals amending the CRD, relate to seven specific policy areas, most of which reflect commitments made by G20 leaders at summits in London and Pittsburgh during 2009. These commitments included building high-quality capital, strengthening risk coverage, mitigating pro-cyclicality and discouraging leverage, as well as strengthening liquidity risk requirements and forward-looking provisioning for credit losses. All interested stakeholders are invited to reply to the consultation by 16 April 2010, indicating what impact the potential changes would have on their activities. The results will feed into a legislative proposal scheduled for the second half of 2010.

Market Risk: Solving for Basel II and IFRS7 with SIAG

coins madridMarket (Price) Risk - Abstracting the Liquidity Component

Market Risk is different. Liquidity Risk is different even further. Conceptually they are in bed together, although Liquidity risk has risen up the food chain recently as the impregnability of the banking book has been seen to be a chimera as the tide of the crisis went out. One thing is for certain these are the two biggest headaches from Bishopsgate to the Barbican. The Liquidity risk story is well documented here so this blog has a focus on the Market Risk (Price) problem and how to solve it for its two currently key variables – Basel II and IFRS7.

FSA strengthens stress testing regime

srp processThe Financial Services Authority (FSA) has strengthened its stress testing regime by requiring firms to improve their stress testing capability, enhance their capital planning stress testing and by introducing a reverse stress testing requirement for firms.

The FSA’s integrated approach to stress testing consists of three main elements:

The changes to the market risk framework will increase average trading book capital requirements by two to three times

QUOTE: The changes to the market risk framework will increase average trading book capital requirements by two to three times their current levels

The New Banking Transparency is inevitably DIY UPDATE

 

I would go straight to pdf on this stream of conciousness waffling piece of drivel from some years ago ... (sic) .....before I hit the whisky ....... while its printing you can enjoy this view of an RAF Tornado on excercise over Loch Sunart ... & yes this is the one that includes the geeky bit about product hierarchy modelling @ the end ... & the 'Banking Transparency 101' insert too; - enjoy!

 

 

 

The New Banking Transparency is inevitably DIY

 

Sunday, 25 October 2009

 

 

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