One of the most important policy issues for financial authorities is to decide at what level average capital charges should be set. The decision may alternatively be expressed as the choice of an appropriate survival probability for representative banks over a horizon such as a year, often...

"Recent frauds in investment banks and securities houses have revealed how vulnerable modern financial institutions are to criminal activity by their employees. In this paper, we examine how regulators may limit the incidence of securities fraud by encouraging firms to provide managers and...

To measure the risks involved in their trading operations, major banks are increasingly employing Value-at-Risk (VaR) models. In an important regulatory innovation, the Basle Committee has accepted that such models can be used in the determination of the capital that banks must hold to back...

In March 2012 a conference, organised jointly by the ICFR and SUERF, on "Future Risks and Fragilities for Financial Stability", explored what the next pressure points for financial stability might be, how these may arise from the response to the last financial crisis, and how the industry and...