In our second instalment on capital adequacy regulations for US financial institutions, we look at the credit risk requirements under the internal ratings based (IRB) and advanced measurement approaches (AMA). Earlier we had reviewed eligible capital, minimum capital ratios as well as risk weights under
It has not been a good month for Wall Street. On February 4th, Michael Lewis came out with guns blazing against Greg Smith’s “Why I left Goldman Sachs”. Branding Mr. Smith as tone deaf, self serving and narcissistic is something that would have really tickled
Jawwad Farid Every since the Basel and BIS Committee that formulates the Basel Standard announced a preference for exploring an alternate metric for Risk Management there has been a resurgence of interest in Shortfall methods. There has been a renewed focus on research some led
Two new online video based courses that cover the topics of Asset Liability Management (ALM), Capital Adequacy and Stress Testing at an intermediate level. The Stress Testing, ALM & Capital Adequacy Crash Course includes over 500 minutes of video instruction, while the shorter ALM & Capital Adequacy course covers the basics of both topics in under 150 minutes.
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
Besides the two supervisory standards proposed in the Basel III liquidity reforms, the liquidity framework also presents 5 metrics that would be used by banks to monitor their liquidity position on a consistent basis. National supervisory authorities have the discretion of suggesting additional measures that
In our previous post on the reforms being brought to the liquidity framework by Basel III we had discussed the numerator of the first minimum funding liquidity ratio, LCR. In this post we will cover the elements of the denominator of that ratio, i.e. the
In our previous post on the reforms being brought to the liquidity framework by Basel III we had discussed on a broad level the new minimum funding liquidity standards that would be applicable for the banking sector. In this post and the one to follow
According to the reforms to the capital and liquidity framework, Basel III would require the banking sector to maintain and monitor two key minimum funding liquidity standards as part of the supervisory/ regulatory approach to managing liquidity risk. This would be in addition to the
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