A simplified guide for reverse stress testing
9 mins read time A guide to reverse stress testing A typical stress test […]
ICAAP and ILAAP guidelines for European Banks
7 mins read time What is ICAAP? Internal Capital Adequacy Assessment. Internal Capital Adequacy […]
Yield Curve History – US Treasuries
4 mins read time A visual depiction of shifts over the period 1978 – […]
Stress testing guidelines for bank. A simple comparison of US, European and Asian guidelines.
9 mins read time A short review of stress testing regulatory frameworks. Stress testing […]
Probability of Shortfall and Expected Shortfall with or without Basel III – Financial Risk Management Training Course – Day Three Update
3 mins read time Jawwad Farid Every since the Basel and BIS Committee that […]
Building Maturity Liquidity profiles for Deposits and Advances book for ALCO (ALM), ICAAP IAS 30 reporting
4 mins read time The mandate of the ALM (ALCO) committee has increased with changes in the Basel II framework to accommodate liquidity and funding concentration concerns. Commonly known as Basel II extensions or the Basel III framework, the changes put a renewed focus on liquidity coverage ratio and funding concentration. To be fair both interest rate mismatch and liquidity profiling were already areas of focus under the original Pillar III Internal Capital Adequacy Assessment Process requirements.