28 agosto, 2012

21 August 2012

Since the start of the financial crisis, extreme market turbulence and increased regulatory scrutiny have brought counterparty credit risk management to the top of the banking agenda. The collapse of Lehman Brothers has led to a deterioration in confidence that financial institutions are capable of fulfilling their obligations to their counterparties. The continuing troubles in the Eurozone, combined with the widespread downgrading of Sovereign debt, have resulted in a loss of faith in the ability of nation states to fulfil their obligations.

Banks subsequently have been developing sophisticated methodologies to cope with the increase in counterparty risk. The credit valuation adjustment (CVA) is a calculation central to good counterparty credit risk management. CVA represents the price assigned to trades to take into account the possibility of a counterparty defaulting.

The Bank of International Settlements estimated that nearly two thirds of the losses from the financial crisis of 2008 were in fact the result of CVA volatility as opposed to actual defaults, which highlights the importance of CVA to the integrity of the banking system.

The specialised CVA trader has risen to prominence in recent years and many banks now have their own CVA desks. However, IT infrastructure limitations and a vast array of complex modelling techniques means that CVA is an area with which many banks still struggle. And with Basel III set to require banks to hold capital against CVA volatility, these fiendishly difficult calculations will become even more important to financial institutions. Seguir leyendo

28 agosto, 2012

Published 23 August 2012

Germany has requested the European Union for timely execution of Basel III bank capital rules by January next year.

German Finance Minister Wolfgang Schaeuble told Bloomberg, “I urgently appeal to the European Parliament, the Council and the European Commission to bring the trialog quickly to a successful conclusion.”

“Basel III talks are being dragged out in Brussels,” Schaeuble added.

The Basel III rules aim to boost bank reserve capital to avoid any collapse in future, while strengthening the global banking system, Bloomberg reports.

Germany has inked a legislation approving the new global standards on bank capital and liquidity, thus sending a message to the EU members and European Commission about the urgent execution of the rule.

According to industry experts, espousal of the Basel Committee recommendation for Banking Supervision would require over triple the core capital for which lenders must have up to 7% of their risk-weighted assets.

The Group of 20 nations advocated that the banks must strengthen their reserves capital to avoid any reoccurrence of bailout incidents after the 2008 collapse of Lehman Brothers Holdings.

From: BBR Staff Writer

2 agosto, 2012

El FDIC (Federal Deposit Insurance Corporation) organismo garante de los depósitos en los bancos afiliados a éste, ha emitido el 28-06-12 una circular a las instituciones financieras con este epígrafe:

Normas de regulación de capital.

Normas de cálculo de capital para modelos avanzados, normas de capital para riesgo de mercado.

Resumen: Las agencias bancarias federales reguladoras han publicado conjuntamente el anuncio de la nueva reglamentación propuesta para modificar las normas de cálculo de capital en los modelos internos avanzados para incorporar las recomendaciones contempladas en el modelo propuesto por Basilea respecto al cálculo de capital y que fue publicado por el Comité de Basilea de Supervisión Bancaria (BCBS). Seguir leyendo

2 agosto, 2012

Farah Khalique

23 Jul 2012

Only one bank in 12 is able to measure the credit risk of those with which it trades, according to research published this week by consulting firm: Lepus

Being able to calculate counterparty credit risk is central to sound risk management but Lepus found that only 8% of the 39 bank respondents to a web-based survey could make the judgement.

Of all the banks that responded – 27 from Europe, eight from North America and four from the Asia-Pacific and Africa regions – 42% said that they are incapable of calculating counterparty risk (CVA) effectively, while 50% saw room for improvement. The survey also found that only 5% of banks calculate CVA in real-time, while 24% do so at several points throughout the day.

James Babicz, head of risk for UK and Ireland at analytics firm SAS, which sponsored the survey, said that banks need highly robust IT systems to properly calculate counterparty risk across all their different desks, using large swathes of data.

He said: “For many banks, especially those still operating in silos, upgrading to an infrastructure capable of calculating CVA in near real-time across asset classes will be a challenge due to the huge volume and variety of big data they must analyse.”

The report said the differing approaches to timing “means that most firms do not have up-to-date information on exposures to counterparties when pricing CVA into trades. As a result, most firms have a blind spot in this area that could wound them, particularly in stressed market conditions”.

From: http://www.efinancialnews.com

18 julio, 2012

ALMA asiste al QUANT CONGRESS USA 2.012

Entre el 10 y el 12 de Julio se celebró en New York el Quant Congress USA 2.012. Representantes de ALMA de la división Bank & Finance asistieron y tuvieron oportunidad de compartir e intercambiar ideas con expertos de las más prestigiosas instituciones financieras y universidades sobre tópicos referentes a la cuantificación del riesgo en operaciones de trading, pricing y modelos de valoración.

Entre los expertos con los cuales se tuvo el privilegio de compartir opinones, estuvo John C. Hull, Professor en la JOSEPH L. ROTMAN SCHOOL OF MANAGEMENT UNIVERSITY OF TORONTO y dentro del panel de discusión el primer día tuvo especial relevancia las diferentes conclusiones sobre las nuevas exigencias de Basilea III y el CVA.

En ese mismo marco ALMA asistió a una presentación realizada por Dongsheng Lu, director en BNY Mellon en relación a la consistencia en los cálculos y el manejo del riesgo implícitos en el CVA.

Celebrado en New York para ALMA constituyó una fuente enriquecedora de diferentes experiencias y Knowhow tecnológico, lo cual constituye nuestra apuesta diferenciadora para poder aboradr retos tecnológicos como lo será la exigencias en lo que respecta a CVA.

Esperamos asistir al QUANT Congress Europe a celbrarse en Londres el próximo Octubre.