In this webinar, view the observations that were put forward in a recent conversation with Andrew Bockelman, general manager of banking RegTech at Moody's Analytics.
This whitepaper covers the challenges and best practices for closer alignment of liquidity risk management and regulatory reporting.
This paper develops a method to back-allocate to individual positions the market risk capital requirement that a bank must satisfy under the revised standardized approach proposed by the Basel Committee. Our method assesses the contribution of single positions or sub-portfolios to the overall capital charge. One important feature of our method is that it provides insight on which positions, sub-portfolios, and risk factors drive the capital charge and which help mitigate it. A negative contribution indicates that a marginal increase in the position would lead to a decrease in the capital charge, and vice versa.
Lorenzo Boldrini, Tiago Pinheiro
Coverage this month includes , the Financial Stability Board (FSB) agreed its 2017 work plan. The European Banking Authority (EBA) report with qualitative and quantitative observations of its first impact assessment of the International Financial Reporting Standard (IFRS) 9, accounting for financial instruments, standard. The European Commission (EC) presented a comprehensive package of reforms aimed at further strengthening the resilience of European Union (EU) banks. The United States (US) Government Accounting Office (GAO) issued a report detailing additional actions which could help the Federal Reserve achieve its stress testing goals. The Hong Kong Monetary Authority (HKMA) issued a consultation on the local implementation of the Net Stable Funding Ratio (NSFR).
Michael van Steen
Basel III, Basel Beyond III, Basel Liquidity Compliance, Loss Accounting: ALLL, Loss Accounting: CECL, Loss Accounting: IFRS 9, Regulatory Capital, Regulatory Reporting: EU, Regulatory Reporting: US, Stress Testing: EU, Stress Testing: UK, Stress Testing: US
Institutions are transforming their analytic capabilities to move beyond static reports that explain what happened in the past, to more modern analytics that can explain why an event occurred and what is likely to happen in the future.
Coverage this month includes the BCBS's consultative document and discussion paper on Basel III; the EBA's final guidelines on implicit support for securitization transactions; the SEC's adopted rules for open-ended, mutual, and exchange traded funds; and more.
Basel III, Basel Beyond III, Basel Liquidity Compliance, Loss Accounting: ALLL, Loss Accounting: CECL, Loss Accounting: IFRS 9, Regulatory Capital, Regulatory Reporting: EU, Stress Testing: EU, Stress Testing: UK, Stress Testing: US, Systemic Risk
Mark Wells, Associate Director of Portfolio Research at Moody's Analytics, outlines how the parameterization of an Economic Capital model differs for accrual and securities portfolios and relates the parameterization approaches with those associated with Basel Advanced-IRB calculations.
This Whitepaper explores the BCBS' final framework on the revised Pillar 3 disclosure requirements for credit risk, counterparty credit risk (CCR), securitization, and market risk.
This Whitepaper provides a detailed description of the upcoming Net Stable Funding Ratio (NSFR) requirements under Basel III liquidity compliance.
This whitepaper looks at the results of the Moody's Analytics survey in January 2015, which reveals that many banks underestimate the time, resources and cost involved to implement BCBS 239.
Dr. Christian Thun
This whitepaper reviews the Liquidity Management requirements of Basel III, and explores how best to implement them.
In December 2013, the Basel Committee on Banking Supervision released the final policy framework for the capital treatment of banks' equity investments in funds that are held in the banking book. The final policy framework will apply to investments in all types of funds and to all banks, irrespective of whether the banks apply the Basel framework's standardized approach or an internal ratings-based (IRB) approach for credit risk. The final framework will be applicable as of January 1, 2017.