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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:

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.

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

Commission should make ECB reference authority for macro-prudential supervision

art noveau door bxlOn Wednesday 27 May [2009], the European Commission is to present the principles of the structure for the new financial supervision in Europe.

Revision of "Bâle II" Directive gets green light in European Parliament - CAD4 arrives

Brussels, 06/05/2009 (Agence Europe) - On Wednesday 6 May, MEPs debated two legislative proposals in the field of financial services: - proposed directive revising requirements in terms of capital for banks; - proposed decision establishing a Community funding programme for the activities of the three European committees of national regulators (CESR, CEBS, CEIOPS). In their support for the recommendations of each respective rapporteur, they have paved the way for these two legislative acts to be adopted at first reading before the end of the term in office.

five percent of something is better than fiftyfive percent of nuthing

 

DEBATE IN THE EUROPEAN PARLIAMENT ON MAY 6TH 2009
ON THE TOPICS OF
CAD4 (or BASEL III) & 
THE FUTURE OF SECURITISATION

 

 

"5% of something is better than 55% of nothing" McCreevy

 

FSP FAS 157-e Determining Whether a Market Is Not Active and a Transaction Is Not Distressed.

Yesterday, the US Financial Accounting Standards Board approved three FASB Staff Positions (FSPs) to clarify fair value accounting for financial instruments, particularly in distressed markets. The Board had received 600 comment letters on three proposed FSPs. The letters presented mixed messages from investors, individuals, preparers, regulatory bodies, business associations, and auditors regarding the proposed FSPs. An extensive discussion took place before consensuses were reached by FASB to draft and issue final standards:

Liquidity Risk - The Definitive Methodological Paper - Drehman

 The European Central Bank has this weekend published a working paper which in my view provides the definitve methodological approach to Liquidity Risk analytics for any financial institution.

In my view any consulting firm or software house advising you on Liquidity Risk analytics and NOT referring this paper, is advising you in a "private language"; you should regard this paper as the benchmark against which to qualify and assure yourself that you are being given the right advice. This paper is the methodological blueprint for 'best practice' in Liquidity Risk analysis, just look at the authors and editors; it has had the European "first XI" 'hall of fame' in risk management expertise working on it, reflecting the importance of the issue right now. 

John A Morrison Profile / email John

 

The paper details are as follows;-

 

EUROPEAN CENTRAL BANK WORKING PAPER SERIES NO 1024 / MARCH 2009 

FUNDING LIQUIDITY RISK DEFINITION AND MEASUREMENT

by Mathias Drehmann (BIS) and Kleopatra Nikolaou (ECB)

CEBS publishes its report mapping supervisory objectives and powers across EU Member States

Am I alone in thinking that there is something not quite in the real world about these ongoing announcements from CEBS?

(there is no point in reading this if you don't know what CEBS is!)

Anyway, here we have CEBS yet again setting out or "mapping" (how I hate that word, when it doesn't refer mountains or lochs); objectives & powers, processes & targets for itself ....

The Asymptotic Single-Risk-Factor (ASRF) model Specification and Calibration Errors

 

Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model

by Nikola Tarashev and Haibin Zhu,

Monetary and Economic Department,

Bank for International Settlements 

International Journal of Central Banking, June 2008

 

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