ICAAP

A simplified guide for reverse stress testing

A guide to reverse stress testing A typical stress test creates a scenario and evaluates how a bank would fare…

April 5, 2016 9:12 am

ICAAP and ILAAP guidelines for European Banks.

ICAAP and ILAAP European guidelines. What is ICAAP? Internal Capital Adequacy Assessment. Internal Capital Adequacy Assessment Process (ICAAP) is an…

March 29, 2016 5:04 pm

Market Risk Metrics – Put Premium

The put premium gives the conditional expectation of loss beyond the worst case loss, if the worst case loss occurred.…

April 19, 2011 12:31 pm

Market Risk Metrics – Holding Period Return

The Holding Period Return represents the return earned by an instrument (e.g. an equity stock) over the time that it…

April 18, 2011 3:32 pm

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…

April 14, 2011 12:16 pm

Basel III – Liquidity Framework – Metrics for monitoring liquidity risk

Besides the two supervisory standards proposed in the Basel III liquidity reforms, the liquidity framework also presents 5 metrics that…

April 2, 2011 11:07 am

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