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Basel Accord
In a world where capital is neither free nor abundant, the new paradigm is risk based pricing. With the implementation of Basel II and the removal of traditional barriers to doing business across geographic boundaries, we as bankers need to think more carefully about the capital impact of our choices.
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Basel II Reporting
Alchemy’s enterprise risk management solution, Alchemy Risk Manager generates a full set of reports both for Pillar I & II. These reports are compliant with SBP reporting
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BCBS - Principles for the Management
and Supervision of Interest Rate Risk
This paper
highlights principles that are intended to be of general
application for the management of interest rate risk,
independent of whether the positions are part of the trading
book or reflect banks' non-trading activities.
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BCBS-An Explanatory Note on the Basel
II IRB Risk Weight Functions
This paper purely
focuses on explaining the Basel II risk weight formulas in a
non-technical way by describing the economic foundations as well
as the underlying mathematical model and its input parameters.
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Financial Risk Management Primer
This primer summarizes the financial risks
encountered and the framework to deal with deal with them.
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Evaluation of Value-at-Risk Models
Using Historical Data by Darryll Hendricks
This
article provides a comparative study of the different Value at
Risk Models being used in the market today.
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Parameter Estimation for the CIR model
This paper uses the equilibrium
model of the term structure of interest rates based on the framework
of Cox, Ingersoll and Ross (CIR, 1985). The contributions of
this paper to the literature are empirical and the purpose is
to derive estimates of parameters that fit the Continuous time
CIR model using the available discrete market data of the yield
curve. CIR one-factor model allows the conditional mean (drift)
and conditional variance (diffusion) to be functions of the
current short rate. The parameters have been estimated over
different data sets, time periods and estimation techniques.
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Prudential sourcebook for Banks,
Building Societies and Investment Firms
This is the
source book of Financial Services Authority, UK for Banks,
Building Societies and Investment Firms.
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