Basel II : Risk Model Validation Quiet Revolution in the Supervisory World

Nov 03, 2012

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Basel II : Risk Model Validation Quiet Revolution in the Supervisory World

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Capital Adequacy

Capital Adequacy. Basel II Accords Proposed 2004, Implemented Soon. Three Pillars Minimum capital requirements, New methodology for calculating required capital for credit risk. Charges for operational risk Supervisory review - regulators use more comprehensive tools for assessing risk.

1.18k views • 31 slides

Supervision of Internationally Active Banks under Basel II (Cases of Japan)

6 th Annual Seminar on Policy Challenges for the Financial Sector: Cross-Border Supervisory Cooperation The World Bank/IMF/United States Federal Reserve Boards. Supervision of Internationally Active Banks under Basel II (Cases of Japan). June 7, 2006 Shunsuke Shirakawa

535 views • 15 slides

Building Risk Adjustment Models

Building Risk Adjustment Models. Andy Auerbach MD MPH. Overview. Reminder of what we are talking about Building your own Model discrimination Model calibration Model validation. Risk Adjustment Models. Typically explain only 20-25% of variation in health care utilization

876 views • 55 slides

The Incremental Risk Charge in Basel II

The Incremental Risk Charge in Basel II. Mark Staley Risk & Capital Modeling Group, Quantitative Analytics – Trading Risk April 2010. Sticker Shock: The impact of the new rules

685 views • 17 slides

Risk Management and Basel II

Risk Management and Basel II. Indian Institute of Banking and Finance. How do banks make money?. By playing “term” of funds: Long v/s short. By playing risk levels- accept lower risk and place in higher risk- play safety as a market mantra Dispersed source v/s concentrated use.

618 views • 31 slides

The Impact of Basel II on SME Risk Management

The Impact of Basel II on SME Risk Management. Small Business Banking and Financing: a global prospective 25-26 May 2007 Cagliari - Italy. Edward I. Altman NYU Leonard N. Stern School of Business. Gabriele Sabato ABN AMRO Risk Management – Amsterdam & University of Rome “La Sapienza”.

549 views • 25 slides

Credit Risk In A Model World

Credit Risk In A Model World. Bob Scanlon. Credit Risk In A Model World. Backtesting Volatility of capital Database Rating requirements Consistency of rating Parameters for portfolio risk. Impact of Loan Portfolio MTM. Introduction:

415 views • 18 slides

BASEL’S CONSULTATION PROCESS: WHAT’S EMERGING?

BASEL’S CONSULTATION PROCESS: WHAT’S EMERGING?. Stephen Bland, Financial Services Authority. OVERVIEW OF OVERVIEW. Basel in two slides Key issues Absolute capital Internal ratings Operational risk Supervisory review Market discipline EU implementation Way forward. SUPERVISION.

243 views • 11 slides

BPA’s Generator Model Validation Technique/Tool

BPA’s Generator Model Validation Technique/Tool. MVWG Denver, CO May 18-19, 2009 Steve Yang Bonneville Power Administration. BPA’s Vision on Generator Model validation . R&D project “Generator Facility Performance and Model Validation”

587 views • 26 slides

Current Developments in the Implementation of Basel II Presentation to the FSI-ASBA High-level meeting Rio de Janeir

2. 1. About the AIG . The AIG is not Basel II control centralSupervisors share experiences and communicate range of practices and sound practices, and learn from each otherInformation exchanges and outreach to the global supervisory community (ILGC) and industryShifted over time from writing h

282 views • 15 slides

ISDA PRMIA Risk Management Seminar – Basel II and the Trading Book Review

ISDA PRMIA Risk Management Seminar – Basel II and the Trading Book Review. Ed Duncan, Head of Risk Management Policy, ISDA - October 9, 2007 -. Default risk in the Trading Book. The Basel / IOSCO working group “package” (2005) Various industry initiatives - ISDA LIBA IIF letter (Oct 2005)

260 views • 4 slides

Operational Risk Questionnaire

Operational Risk Questionnaire. A Framework for Operational Risk Management . Background on Operational Risk. New Basel capital requirements are based upon market, credit, and operational risk. The New Basel Capital Accord defines operational risk as:

764 views • 12 slides

Day 3 Establishing a Modern Risk Management Department

Day 3 Establishing a Modern Risk Management Department. Basel II and Bank Risk Management Garrett R. Glass. Pillar One. Pillar Three. Pillar Two. BIS Capital Adequacy Framework – Basel II. Setting Minimum Capital Requirements. Supervisory Review. Market Discipline.

395 views • 16 slides

The Quiet Revolution in Quebec

The Quiet Revolution in Quebec. The Quiet Revolution- period of intense change in Quebec. In 1959, Quebec premier Maurice Duplessis dies. Under Duplessis , the Roman Catholic church ran the educational system and the health care system Lets read pages 253-55 & summarize who he was.

627 views • 7 slides

The Quiet Revolution in Quebec

299 views • 7 slides

Model Validation in Western Interconnection

Model Validation in Western Interconnection. Dmitry Kosterev (BPA), Stephanie Lu (PSE), Donald Davies (WECC) August 2011. System Model Validation. NERC conducted a model validation conference in Charlotte in June 2011 Each interconnection develop processes for system model validation

403 views • 10 slides

Supervisory Framework for Risk Assessment and Risk-based Solvency

Supervisory Framework for Risk Assessment and Risk-based Solvency. Philipp Keller, Federal Office of Private Insurance FSI, 28 April 2006. Contents. Global Regulatory Trends Global Tendencies Regulatory Initiatives Risk Management Risk Based Solvency Models Swiss Solvency Test

1.12k views • 88 slides

Basel 1: pro’s & con’s

A regulatory perspective: assessing ‘best practice’ risk systems Michael Ainley Head of Wholesale Banks Department Financial Services Authority, UK 18 May 2004. Basel 1: pro’s & con’s. How well has Basel 1 served risk management?

381 views • 18 slides

Travel Model One : Update and In-Progress Validation Results

Travel Model One : Update and In-Progress Validation Results. David Ory (dory@mtc.ca.gov) Metropolitan Transportation Commission December 13, 2010 Presentation for Four Agency Modeling Group. Outline Schedule. Model overview. Roadway validation. Transit validation. Questions.

564 views • 42 slides

Model-Based Requirements Validation

Model-Based Requirements Validation. Validation Workshop September 8, 2008 Lisa Nicklow. Agenda. Introduction Project Overviews General Validation Approach Project Approaches IV&V Tool Usage Results Lessons-Learned. Introduction. Validation is…

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Basel II : Risk Model Validation Quiet Revolution in the Supervisory World

Basel II : Risk Model Validation Quiet Revolution in the Supervisory World

Presentation Transcript

Capital Adequacy

Supervision of Internationally Active Banks under Basel II (Cases of Japan)

Building Risk Adjustment Models

The Incremental Risk Charge in Basel II

Risk Management and Basel II

The Impact of Basel II on SME Risk Management

Credit Risk In A Model World

BASEL’S CONSULTATION PROCESS: WHAT’S EMERGING?

BPA’s Generator Model Validation Technique/Tool

Current Developments in the Implementation of Basel II Presentation to the FSI-ASBA High-level meeting Rio de Janeir

ISDA PRMIA Risk Management Seminar – Basel II and the Trading Book Review

Operational Risk Questionnaire

Day 3 Establishing a Modern Risk Management Department

The Quiet Revolution in Quebec

The Quiet Revolution in Quebec

Model Validation in Western Interconnection

Supervisory Framework for Risk Assessment and Risk-based Solvency

Basel 1: pro’s &amp; con’s

Travel Model One : Update and In-Progress Validation Results

Model-Based Requirements Validation

Basel 1: pro’s & con’s