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ECB unveils tougher collateral rules for bank loans detoxing liquidity injections

The European Central Bank unveiled new provisions Saturday regarding key refinancing operations that should tighten some conditions for banks seeking to borrow central bank funds. The European Central Bank is to beef-up its powers to act against struggling eurozone banks in a move that could foreshadow a tougher line towards those depending on its liquidity to survive.The changes follow other reforms already proposed for the global financial system that could determine how much credit is available to drive an uncertain economic recovery. Although a largely technical change, the timing of the step is significant. ECB policymakers have become increasingly frustrated that a number of banks remain “addicted” to the offers of unlimited liquidity it has been making since the collapse two years ago of Lehman Brothers.

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





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.

Allied Irish Banks, p.l.c. Capital Update

Picasso Moment of TruthNO COMMENT !!! (Well we held off for 15 mintes)


Allied Irish Banks, p.l.c. Capital Update

20th April 2009

US Treasury Slaps D-Notice on Stress Test Results for US Banks Q1 Earnings

Banks asked to keep quiet on Stress Tests

WASHINGTON (Reuters) - The U.S. Treasury Department is asking banks not to mention the regulatory "stress tests" as part of their first-quarter earnings results, according to a source familiar with government discussions. Many of the top 19 U.S. banks who are undergoing regulatory stress tests have already completed internal versions of the examinations, which are designed to determine their capital needs under more adverse economic conditions.

ERM-II Enterprise Risk Management & Economic Capital

On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level

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;-




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

Economic (Risk) Capital - How To - References




Asymptotix published a White Paper (WP) on Credit Risk Economic Capital, Open Source R and High Performance Computing. REvolution Computing (now called Revolution Analytics) kindly supported this paper. The paper is extensively referenced and more and more right now I am being asked about the references, as a body of work in their own right, which indeed they are, my paper isn't really necessary (although I would argue that REvolution is!). My paper simply glues together in a narrative, that body of theoretic work which constitutes the leading thinking in the Economic Risk Capital space. You could view the references as a theoretical forge from which a set of R objects could be refined from that universe and then optimised in REvolution. At least that's way I see it. You can reference my paper here, at this url;



Below is a presentation of the set of references I used both the theoretical work (alot of it is very applied) on issues in Risk and Economic Capital and the specific applied papers on Stress Testing.


After the Credit Crunch: The importance of Economic Capital and how to calculate it

John A Morrison is a Solution Architect in Risk Management. He is Director, Solution Partnerships of Union Legend (Asymptotix) and an advisor to REvolution Computing. He has published in December 2008 an important White Paper that is downloadable on our website. This is a White Paper about "Economic Capital", i.e. the amount of capital which a Financial Institution needs in order to survive in a worst case scenario.

Events of recent months prove that this is no longer an academic exercise. The Credit Crunch has seen Central Governments pumping fresh capital into the banks which were clearly undercapitalized and ill-prepared to deal with the crisis.

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