Analysis of latest annual data provided by globally systemically important banks to the Basel Committee on Banking Supervision suggests that UK, French and Swiss banks continue to pose a risk as measured by their size compared to the GDP of the country in which they are based. Data and news provider SNL Financial said that […]
Vincent Papa, director of Financial Reporting Policy at the CFA Institute comments on the implications of using RWA density and return om RWA as risk and performance metrics. As we delve deeper into the bank earnings season, it is worth taking a closer look at two important risk and performance metrics: risk-weighted assets (RWA) density, […]
Mark Tinker, head of AXA Framlington Asia, comments on APEC, the US-China climate change agreement and the impact of Basel rules on QE as disruptive trends to global equity markets. The APEC meeting was followed by G20 and more deals out of china on trade and infrastructure, all of which are very positive for long […]
Regulators are bracing for fresh criticism of bank capital modelling, say industry sources
The International Swaps and Derivatives Association has proposed an alternative approach to trading book capital requirements, and urged regulators not to disincentivise banks from improving their internal models, in its response to the Basel Committee on Banking Supervision’s review of existing trading book capital rules.
One of the founders of the theory of portfolio management has defended it against widespread claims that it failed during the crisis – in fact, the crisis vindicates the theory, argues Harry Markowitz, professor of finance at the University of California, San Diego.
Billions of dollars in capital could be excluded under Basel proposals on derivatives DVA – with US banks hardest hit
Bank supervisors say they are keeping a close eye on a new generation of corporate deposits that use a rolling 35-day option to remain out of reach of the 30-day threshold embedded in the Basel III liquidity coverage ratio (LCR) – one of the first products designed in response to the new rules.
Allied Irish Banks (AIB) has announced pre-tax losses of over €12bn for 2010, plunging €9.4bn deeper into the red compared with the previous year as it continues to pay the price of bad loans made to property developers leading up to the financial crisis.
Europe’s banks need to meet Core Tier 1 capital ratio requirements of 5% from the end of this year, as the new European banking regulator puts pressure on institutions to bolster their underlying financial health.