VAR versus expected shortfall - Risk.net
WEBMar 1, 2007 · Expected shortfall, like VAR, is a function of two parameters: N (the time horizon in days) and X % (the confidence level). It is the expected loss during an N -day period, conditional that the loss is greater than the X th percentile of the loss distribution. For example, with X = 99 and N = 10, the expected shortfall is the average amount ...
Supplementary leverage ratio (SLR) definition - Risk.net
WEBThe supplementary leverage ratio is the US implementation of the Basel III Tier 1 leverage ratio, with which banks calculate the amount of common equity capital they must hold relative to their total leverage exposure. Large US banks must hold 3%. Top-tier bank holding companies must also hold an extra 2% buffer, for a total of 5%. The SLR, which does not distinguish between assets based on ...
Counterparty risk definition - Risk.net
WEBCounterparty risk is the risk of one or more parties in a financial transaction defaulting on or otherwise failing to meet their obligations on that trade. Counterparty risk is especially relevant to derivatives markets, where notional values can far exceed the size of the underlying securities. To help alleviate this risk, derivatives trades must be cleared via central counterparties, or CCPs ...
Bankers hope EBA op risk taxonomy will go global
WEBAug 19, 2024 · Proposed update to 20-year-old risk map is welcomed, but international co-ordination urged. In 2004, bankers were still hooked on their Blackberries, Google Maps hadn’t yet been launched, and generative artificial intelligence was the stuff of science fiction. The world looks quite different 20 years later, but some things haven’t moved on.
Stress Testing - Risk.net
WEBFirst published: 29 May 2013. ISBN: 9781782720089. Stress Testing: Approaches, Methods and Applications explores and clarifies the methodology, impetus and functions of stress testing within the context of the latest practices and regulations faced by banks and other financial institutions. The authoritative guide and reference tool for stress ...
Identifying and Measuring Conduct Risk
WEBDec 12, 2016 · Identifying and Measuring Conduct Risk. A key step in managing conduct risk and meeting regulatory expectations is understanding where conduct risk exposure lies in a business and what the extent of that exposure is. Without an adequate understanding of where conduct exposure lies it is impossible to …
ALM banking after the crisis: stress-testing for more robust …
WEBAug 8, 2023 · Adrian Docherty: Conventional wisdom suggests that ‘digital’ changes everything, lubricating the financial system and reducing the stickiness of customer deposits. Indeed, deposit flight from failing banks has accelerated – that is no surprise. And yes, the ‘hot money’ from rate-chasers is of ever more dubious quality as a source of funding for a bank’s lending activities.
What is Strategic Risk? - Risk.net
WEBJun 24, 2016 · As with strategy, there is no generally agreed definition of strategic risk or SRM. MacLennan (2010) points out: It is relatively recently that strategic risk management has emerged as a distinct concern. Recognition that isolated risk management in specific areas is inadequate and that many risks are “strategic” in their nature and impact ...
FRTB news and analysis articles - Risk.net
WEBAug 20, 2024 · The Fundamental Review of the Trading Book (FRTB) is a set of market risk capital rules designed to replace a series of patches introduced after the financial crisis. It seeks to better-capture tail risk, to redraw the boundary between banking and trading books, and to raise the bar for internal models. Our take.
CVA swap: a new type of capital relief trade - Risk.net
WEBFeb 14, 2024 · CVA swap dynamics. While significant risk transfer and capital relief trade transactions have become established practices for banks when transferring counterparty credit risk to hedge funds, CVA swaps have only recently entered the trading arena. The purpose underlying all of these transactions is to enable banks to offload counterparty credit risk, reducing the capital they are required to ...