Basel III Insight

This paper adresses the new standardized approach for capitalizing counterparty credit risk (SA-CCR) associated with OTC derivatives, exchange-traded derivatives, and long settlement transactions introduced by BCBS in March 2014.

Author: Pierre-Etienne Chabanel
Date: May 20, 2014
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Changes to liquidity management regulations present significant challenges for organizations based in the United States. In this webinar, our experts discuss key aspects of the planned US Basel III liquidity regulations, critical challenges in implementing these regulations, and a best practice framework for delivering compliance with the US Basel III directive.

Presenters: Anna Krayn, Olivier Brucker
Date: May 1, 2014
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As EU based institutions adopt combined Common Reporting (COREP) and Financial Reporting (FINREP), many are reviewing how best to deliver accurate and consistent COREP and FINREP reports. Many recognize they need a system that is efficient, effective & streamlined. Watch this webinar and gain expert insight into delivering integrated COREP and FINREP reporting

Speaker: Eric Leman
Date: April 8, 2014
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In recent years, banks have invested in enterprise risk management (ERM), but have these investments been smart, operationally efficient and effective? The answer to this depends on whether they believe being operationally efficient is an unrealistic utopia, or whether they see it as a key building block for best practice ERM, and therefore a strategic imperative. This article attempts to explain these two positions by outlining current drivers pushing banks toward more effective ERM investment.

Author: Charles Stewart
Date: April 14, 2014
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This paper provides an overview of the COREP and FINREP reporting requirements, together with the challenges they present to bank management. It also proposes a framework, leveraging a centralized data platform that helps banks to deliver integrated, consistent COREP and FINREP reports to their supervisors, on time and cost effectively.

Author: Pierre-Etienne Chabanel
Date: October 2, 2013
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With the advent of Basel III and the overall increase in regulatory requirements stemming from the economic crisis, financial institutions face regulatory capital mandates that have strained strategic plans more than ever. As a byproduct of the increased focus on regulatory capital, some financial institutions have reduced their attention to economic capital, arguing that with a binding regulatory capital constraint, economic capital is less relevant. Our research indicates that both regulatory capital and economic capital should influence decision making.

Author: Amnon Levy
Date: October 1, 2013
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This paper considers the 14 Risk Data Aggregation and Reporting Principles recently described by the Basel Committee for Banking Supervision and assesses their associated costs and benefits. In addition, it explores the benefits of embedding the Principles in two contexts: corporate credit origination and overall enterprise-wide risk management.

Authors: Charles Stewart, Tom O'Connor
Date: August 12, 2013
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In this paper, we introduce two new measures that incorporate both RegC and EC: return on risk-adjusted capital (RORAC) and economic value added (EVA™). These measures allow institutions to rank-order their portfolios and potential deals in a way that accounts for economic risk and regulatory charges.

Authors: Amnon Levy, Andrew Kaplin, Qiang Meng, Jing Zhang
Date: August 1, 2013
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Basel III stresses the integration between liquidity and credit risk, and the need to manage both from an enterprise-wide risk-management context. This demands a new enterprise-wide organization of tasks, processes, and calculation infrastructure, specifically in terms of systems integration, data flow coordination, model validation, and data interfacing. This paper analyzes the key challenges institutions face when optimizing the capital ratio calculation and outlines ways they can overcome them.

Authors: Cayetano Gea-Carrasco, Mikael Nyberg, Pierre-Etienne Chabanel and Pierre Gaudin
Date: May 14, 2013
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In this article, adapted from the original Moody’s Analytics whitepaper, "Loss Reserves are Falling, But They Could Soon Be on the Rise”, Community Banks are offered an analysis of how they can use the Financial Accounting Standards Board’s (FASB) proposed updates to accounting standards in regard to allowance for credit losses (ACL) from December of 2012 to their competitive advantage. The systems and processes that can help banks comply with the new standards can also be leveraged to improve how they do business.  

Author: Christian Henkel & Jan Larsen
Date: April 12, 2013

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Depending on your point of view, regulations can be viewed as a hindrance or a compliance cost. However, hidden in the pending regulations being mandated in the global financial service sector is an opportunity to leverage regulatory investment into business gains. Download this article and discover the ability to leverage the expenditure on data analytics to capture enhanced business value consistently over a longer term. A well-structured data analytics infrastructure could pay for itself in ways more than one.

Author: John Baer
Date: March 21, 2013

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In December 2012, the Financial Accounting Standards Board (“FASB”) and the International Accounting Standards Board (“IASB”) released their proposed update to the accounting standards for the Allowance for Credit Losses (“ACL”). The standards are intended to address weaknesses in the prior guidance that were revealed by the financial crisis. Specifically, the guidance seeks to facilitate more timely recognition of likely losses, and also seeks to simplify the prior guidance by establishing a single standard for impairment. In this whitepaper, we argue that the banks who best adapt to the new standards will be at a competitive advantage, and not only because of the edge inherent in setting more accurate provisions. The same systems and processes that can help you comply with the new standards can be leveraged to improve a wide array of core business activities.    

Authors: Christian Henkel, Jan Larsen
Date: February 6, 2013

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With the introduction of the Simplified Supervisory Formula Approach (SSFA), regulatory capital charges for CLO tranches could change significantly. For this report, Moody's Analytics calculated the SSFA capital charge on a large sample of CLO tranches of varying seniority.

Author: Andrew Jacobs
Date: December 6, 2012

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Download this Moody’s Analytics whitepaper to learn more about the challenges institutions face in defining their risk appetite statement and strategic goals and to understand the advantages of having an enterprise-wide platform for data consolidation, analyzing, reporting, and the management of the risk appetite.

Author: Cayetano Gea-Carrasco, Mikael Nyberg, Richard Vasicek
Date: November, 2012

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The 2007-2008 financial crisis has resulted in a greater focus on risk management from both a quantitative and qualitative perspective. This paper addresses the main issues associated with data quality in banking, demonstrating that data silos continue to be the main cause of data quality issues. The regulatory wave triggered by the financial crisis has not ignored the data-quality issue and this paper outlines the key regulatory concerns, mainly around Basel II and III. Finally, this paper outlines best practices banks can leverage to improve data accuracy, quality, and access across the organization.

Author: Massimiliano Neri
Date: October, 2012

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Download the following article by Pierre-Etienne Chabanel to understand the challenges and opportunities that banks face as they get to grips with the business and financial implications of Basel III.

Author: Pierre-Etienne Chabanel
Date: September 3, 2012

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Please download this article by Robert Wyle, head of ALM product management at Moody’s Analytics, for a chief executive officer’s guide to building competitive advantage through next-generation enterprise risk management.

Author: Robert Wyle
Date: August 8, 2012

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In this presentation you will learn a best practice approach to implementing stress testing under Basel III and see a demonstration of Scenario Analyzer.

Authors: Eric Ebel, Jose Suarez-Lledo
Date: June 13, 2012

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Pierre-Etienne Chabanel's Presentation from the Moody’s Analytics Regulatory Capital User Group provides an overview of recent regulatory developments covering the current Basel III status and timeline for Europe and the rest of the world, latest EU CRD IV regulation and directive proposals, and EU Unified COREP, FINREP and Large Exposure regulatory reports.

Authors: Pierre-Etienne Chabanel
Date: June 13, 2012

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This presentation focuses on a Macro-Finance Approach: Option-Pricing vs. General Equilibrium, real world macro scenarios (assessing relevant risks in a forward-looking fashion), connecting macro factors with risk parameters, and connecting macro factors with credit parameters. This presentation also includes a case study of retail credit.

Authors: Dr. Jose Suarez-Lledo, Luca Magni
Date: May 29, 2012

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Moody's Analytics was featured in the Risk Management supplement of the Sunday Telegraph. It features two articles by Moody’s Analytics (page 10 and page 15) as well as our corporate ad (page 2).

Authors: Charles Stewart, Juan Licari
Date: May 20, 2012

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Article published in Asia Risk Magazine focusing on how Basel III is being impleted in Asia and how vendors like Moody's Analytics can help.  Throughout the piece, Pierre-Etienne is quoted discussing the data management challenges of Basel III, how banks across the region are implementing Basel III and some of the headaches they are experiencing with reporting.

Author: Pierre-Etienne Chabanel
Date: March 16, 2012

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The financial regulation is constantly evolving, and nowadays the Basel III rules and timelines have broad acceptance over the world. Compliance is starting from 2013, so banks need to prepare themselves to be fully compliant with the capital, leverage and liquidity ratios. In the presentation, Moody’s Analytics highlights the challenges on implementing the Basel III regulation.

Author: Charles Stewart
Date: November 15, 2011

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Complying with regulation is not optional, however you can leverage the investment you will make to help positively drive business strategy (Economics). This presentation explains in what extend closer integration/sharing of data across risk/finance functions is a critical business pre-cursor. Moody’s Analytics provides an integrated data platform that allows our clients to leverage the data they have to achieve best practice and to comply with Basel III requirements.

Author: Victor Pinto / Alain Maure / Tom O’Connor
Date: November 15, 2011

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The recent financial crisis and subsequent regulatory reform is driving need for better risk management, and Moody's Analytics strategic ERS solutions respond to these requirements. This presentation goes through key features that are crucial to better manage risk: Data capture, risk quantification and aggregation.

Author: Peter Knowles
Date: November 15, 2011

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This presentation was given by Jing Zhang at Risk USA 2011 Conference in New York City. Key topics discussed include: Basel III and Its Impacts; Does ROE Really Matter to Shareholders?; and From Risk Management to Capital Management.

Author: Jing Zhang
Date: November 1, 2011

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Three years after the financial crisis of 2008, banks are now operating in a dynamic economic and regulatory landscape. Among the maze of new regulation, the latest banking rules proposed by the Basel Committee for Banking Supervision are due to be adapted by national governments later this year. On the eve of the implementation of one of the key regulatory banking transformations post-crisis, banks are facing a new series of challenges. These challenges, however, are not insurmountable, and the industry will need to re define and re-invent itself in order to address them.

Author: Bianca Magee
Date: September 1, 2011

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This Whitepaper explores the most significant challenge facing banks when they are implementing Basel III—the need to balance the interests of the business against the needs of the regulator. This Whitepaper explores the management impact on risk and finance; the implications of different countries taking different approaches to Basel III; the issues surrounding managing data quality and stress testing; the issue of auditing the regulatory data; the complexities of managing Basel I, II and III side-by-side, and the challenges of integrating disparate backoffice banking systems into a cohesive Basel III management framework.

Author: Pierre-Etienne Chabanel
Date: September 1, 2011

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Basel III’s new requirements are having a considerable impact on banks’ businesses. As a result banks have to revisit their information and processes and how they manage these in the new environment. Basel III may not entail the same level of infrastructure investment that Basel II has required, but the impact of regulatory changes in process, professional development, governance and IT should nonetheless not be underestimated argues Maria Canamero, lead strategist at Moody’s Analytics.

Author: Maria Canamero
Date: June 11, 2011

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This PowerPoint showcases Moody’s take on the impact of Basel III. It looks at trends since 2008 and how Basel III is largely good news for creditors and some banks, although it sounds a warning about the unintended consequences of regulation on banks and the demands of shareholders. Banks with solid franchises and earnings should do well, but weaker organisations will have to make significant adjustments to remain competitive. Finally, there are some strategic pointers from Moody’s to show you what needs to be done to face down these new challenges. 

Author: Alain Laurin
Date: June 1, 2011

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