Setting Risk Limits: Worst Case Loss versus Most likely loss
2 mins read I recently ran a presentation for a client where I had to justify setting risk limits at a pre-defined threshold
ICAAP: Internal Capital Adequacy Assessment: Strategic and Liquidity Risk: The missing links
< 1 min read Ever since we started preparing ICAAP (Internal Capital Adequacy Assessment Process) submission reports the two areas where clients had the
Basel III: Enhancements to Basel II: System-wide changes & Increased Stress Testing
3 mins read Basel III seeks to enhance the Basel II framework by addressing both firm-specific risk as well as system-specific systemic risk factors. Here, we will discuss some of major improvements being made to the Basel II framework on a macro-prudential system-wide basis as well as the greater role that stress testing will play in the process.
Basel III: Enhancements to Basel II: Firm-specific changes
4 mins read Basel II framework and global banking regulations weaknesses and loopholes were exposed in the recent financial crisis. The ineffectiveness of
ICAAP: Stress Test: Liquidity Risk
2 mins read We cover some of the ways in which liquidity risk may be stress tested under the Internal Capital Adequacy and Assessment Process (ICAAP). These involve simple sensitivity analysis techniques, such as applying liquidity and interest rate shocks to the assets and liabilities of the bank.
ICAAP: Stress Test: Market Risk
2 mins read We will cover some of the ways in which market risk can be stress tested under the Internal Capital Adequacy and Assessment Process (ICAAP). These involve simple sensitivity analysis techniques, such as applying interest rate and equity shocks, as well as Worst-Case MTM Stress Tests.