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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.

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

Financial Instruments: Replacement of IAS 39

Financial Instruments: Replacement of IAS 39

Transparency Clearing & Regulation of Derivative Securities

 

Transparency Clearing & Regulation of Derivative Securities 

 

basking shark close

 

 

 

 

 

 

 

 

 

 

 

 

'ON EXCHANGE'

The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord

The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord

Jack Sparrow: “The only rules that really matter are these: what a man can do and what a man can’t do.”
Elizabeth: “You’re pirates. Hang the code, and hang the rules. They’re more like guidelines anyway.”
Jack Sparrow: “I thought you were supposed to keep to the code.”
Mr. Gibbs: “We figured they were more actual guidelines.”

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