Purpose: This paper aims to analyse the recent changes to the Pillar 2 regulatory-prescribed methodologies to classify and calculate credit concentration risk. Focussing on the Prudential Regulation Authority’s (PRA) methodologies, the paper tests the susceptibility to bias of the...

Purpose: Focusing on delivering practical implications, the purpose of this paper is to show optimal ways of calculating risk weights for public sector entities (PSEs) under the standardised approach in credit risk. Focusing on the changing regulatory background, this paper aims to explain the...

Purpose – This paper, based on case-studies with five universal banks from Europe and North America, aims to investigate which types of comprehensive risk measure (CRM) models are being used in the industry, the challenges being faced in implementation and how they are being currently...

Purpose – The aim of this paper is to discuss the impact of regulatory-driven changes to the collateral management landscape, indicating operational and technological challenges faced by global investment banks while complying with the new regulatory framework. As it transpires, collateral...

Purpose –This report aims to investigate the approaches taken by financial institution to implement and compute the funding valuation adjustment (FVA). FVA can be defined as the incremental cost attributable to trades with non-collateralised counterparties. This cost emerges related to the...

Purpose – This report aims to investigate the approaches taken by financial institution to implement and compute the funding valuation adjustment (FVA). FVA can be defined as the incremental cost attributable to trades with non-collateralised counterparties. This cost emerges related to the...

Purpose – This paper aims to discuss the impact of nascent Markets in Financial Instruments Directive (MiFID II) initiatives and, thus, to deliver practical insights into MiFID II implementation, compliance and cost reduction MiFID II constitutes the backbone for the upcoming financial market...

Purpose – The aim of this paper is to discuss the impact of regulatory-driven changes to the collateral management landscape, indicating operational and technological challenges faced by global investment banks while complying with the new regulatory framework. As it transpires, collateral...

Purpose – This paper, based on case-studies with five universal banks from Europe and North America, aims to investigate which types of comprehensive risk measure (CRM) models are being used in the industry, the challenges being faced in implementation and how they are being currently...

Purpose – The purpose of this paper is to outline how banks are coping with the new regulatory challenges posed by stressed value at risk (SVaR). The Basel Committee has introduced three measures of capital charges for market risk: incremental risk charge (IRC), SVaR and comprehensive risk...