Basel III Updates – November 2014 In preparation for Basel III and the requirements for banks to hold higher (and better quality) minimum amounts of tier-1 capital, various responses/ reactions to the regulatory regime changes are being witnessed in different countries. Here is a quick
Basel III Enhancement – Linking liquidity crisis with Liquidity Coverage Ratio and Stable Funding Ratios
The SAARC Finance policy response workshop on Basel II Enhancements SBP, NIBAF and SAARC Finance organized a two day workshop on Basel III implementations and Central Banks policy response to these changes in the SAARC region. Four external speakers were invited to present to a
I recently ran a presentation for a client where I had to justify setting risk limits at a pre-defined threshold for a treasury and investment management function, linking Stop Loss, Value at Risk and Management Action Triggers. The question a very astute board member asked
Ever since we started preparing ICAAP (Internal Capital Adequacy Assessment Process) submission reports the two areas where clients had the most questions dealt with estimation of internal capital for strategic and liquidity risk. One client went as far as saying that I don’t want to
A look at how stress test shocks are applied to various elements of the profitability analysis to determine their impacts on the profitability of the bank’s loan portfolio.
In this post we discuss one way of stress testing a rating grades transition matrix. The stressed transition matrix will then be used in the other credit risk quantification calculations. The revised results will be compared to the original credit risk quantification calculations to determine the impact of the stress test.
In this post we will consider how to derive expected classification rates for “current” customers of a loan portfolio. This is used to calculate the expected “current” customers who will be classified within the next period, which will in turn be used in the quantification process of credit risk under the Internal Capital Adequacy and Assessment Process (ICAAP).
One way of stress testing credit risk under the Internal Capital Adequacy and Assessment Process (ICAAP) is to stress test the rating grades transition matrix. In the post below we will first look at how a rating grades transition matrix is constructed.
ICAAP Compliance: Credit Risk: Stress Test: Simple Sensitivity Analysis – Fall in Forced Sale Value (FSV) of mortgaged collateral
One way of stress testing credit risk under the Internal Capital Adequacy and Assessment Process (ICAAP) is to consider percentage falls in the Forced Sale Value (FSV) of mortgaged collateral which is discussed below.
Earlier we had looked at one way of stress testing credit risk under the Internal Capital Adequacy and Assessment Process (ICAAP). We will look at some simple sensitivity analysis for credit risk below, focusing on stressing non-performing loans (NPL).