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Category Archives: Bank Regulation

Driving bank consolidation

Bank consolidation and M&A drivers.

Bank consolidation and M&A drivers It is that time of the year again within the banking industry in the Middle East. The move for bank consolidation and the need to roll out and brush the dust off our bank M&A models.  Like every other industry

CIR - Projected rates

CIR Interest Rate Model – Appropriate Time Step

What is the appropriate time step to use in estimating parameters for, and projecting short rates using, the CIR model? Can estimates based on daily time series data be used in an interest rate model that projects short rates at a monthly time interval? The

BCBS 239

BCBS 239. The new BIS risk data aggregation, risk reporting standard

BCBS 239. Principles for effective risk data aggregation and risk reporting Improving banks’ ability to aggregate risk data will improve their ability to resolve and survive future financial crisis. In crisis mode a bank’s ability to determine its true exposure quickly aggregated across asset and

Attributes of Economic Capital Model

Economic Capital for banking industry

Economic Capital – Everything you ever wanted to know but were afraid to ask. For the last seventeen years I have hated conversations with board members around economic capital. It is perfectly acceptable to discuss Market risk, Credit risk or interest rates mismatch in isolation


Calculating Economic Capital – Using Leverage ratio

So far we have presented two methods for estimating Economic Capital. The first uses the worst case change in Shareholders equity, the second the volatility of the same changes. The challenge with method one and two is that they use capital adequacy as the determining

Positive gap rules for bank ALM analysis & strategy

ALM training for board & ALCO members.

ALM training for Board members. 7 posts. 60 minutes. I have long felt a need a for a high level overview course on Asset Liability Management training for board members, executive committee and ALCO teams. A course that focuses in equal measure on high level

Net Interest Income Analysis - Bank ALM

Net Interest Income (NII) vs Economic Value (EVE)

Net Interest Income – Earnings versus Economic Value. The two elements used within bank ALM analysis are economic value and earnings. Why is earning emphasized more than value? What is wrong with value analysis? In the ALM world we use two tools to illustrate the impact