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Monthly Archives: March 2016

ILAAP-EBA-Principles

ICAAP and ILAAP guidelines for European Banks.

ICAAP and ILAAP European guidelines. What is ICAAP? Internal Capital Adequacy Assessment. Internal Capital Adequacy Assessment Process (ICAAP) is an internal review requirement that evaluates capital adequacy, capital management and planning at banks with a specific focus on core risk factors. Expected to be reviewed

Basel III Credit Risk

Basel III credit risk standardized approach

Basel III Credit Risk – Standardized Approach. The Basel III standard issued by BIS has been up for discussion and debate.  BIS issued a first consultative paper on the revisions to the standardized approach to credit risk in December 2014. A second consultative paper was

Evolution-Bank-Stress-Test

The evolution of Bank Stress Test.

Bank Stress Test. A changing model. Bank failures are such a traumatic event for society. Think of bank failure and the first few images that come to our mind are tragedy and social upheaval. Pre 2008 our generation had only heard of the great depression.

Hob-House-Kenyan-art-2-sm

Hob House – Kenya Art Collection.

Hob House – Kenya Art Collection Two weeks ago, I wrote about my brilliant stay at Hob House – a hidden Nairobi gem that also moonlights as a bed and breakfast. While I spoke about Kelly’s hospitality and her magical kitchen I didn’t really get a

Copula-Terminology-Reference

Copulas in Excel. Theoretical foundations.

Building Copulas in Excel. Foundations. Copulas – revisiting the definition. In our first lesson on Copulas in Excel we introduced the concept of marginal (individual) distributions for the two blends of crude oil we are interested in modeling. We also spoke about a joint distribution