market risk

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Treasury maturity – three years with negative interest rates - Banking blog

After three years of negative interest rates, three out of four Swiss banks manage only to a limited extent the interest rate risks in their balance …

Best practices to implement a new business system

Technological innovation, new regulations, and corporate changes require upgrading or replacing legacy business systems to allow businesses to …

Principles for the Sound Management of Operational Risk - final document

Abstract of "Principles for the Sound Management of Operational Risk - final document", June 2011

Management

Market liquidity and bank capital

Market liquidity and its connection with dealer funding liquidity was at the centre of the policy discussions in the aftermath of the global …

08Jun/Interest rate risk in the banking book - consultative document

The consultative document on the risk management, capital treatment and supervision of interest rate risk in the banking book (IRRBB) expands upon …

Interest Rates

ALCO—for all the right reasons

<b>By Mark Haberland</b><i>, managing director, Darling Consulting Group</i><p>As 2014 ended, I found myself out on the speaking circuit, face to face with many …

Info Graphic | Are Negative Rates Having a 'Negative' Impact on Your Derivative Pricing and Modelling?

Derivative practitioners need to be thinking about the pricing and modeling challenges related to prolonged, and in some areas, increasingly negative …

Variation margin on derivatives: Changes coming?

Overview<p>As reported in a number of recent press articles, several Central Counterparty Clearing Parties (CCPs) have made or are considering making …

Accounting

Hedging - are you early adopting the FASB's new guidance?

Hi, I'm Maria Constantinou, a Director in PwC's National Office.<p>Last August, the FASB issued guidance designed to more closely align hedge accounting …

Accounting

Derivatives and Uncleared Margins

Over the past two weeks, the US banking regulators released their much anticipated final margin requirements for the uncleared portion of the …

PwC discusses Year-Ahead US Roadmap for Derivatives Regulation

It has been three years since the first wave of registrants applied to be swap dealers (SDs) with the Commodity Futures Trading Commission (CFTC). …

How are country risk premia calculated

As noted in the earlier articles in this series, in normal circumstances the expropriation risk would be captured in a valuation through the country …

Country risk premia quarterly update

How has country risk evolved?<p>Our interactive map, above, shows just how much country risk has evolved over the past decade. Some countries have …

How to resolve a systemic sovereign debt crisis | VOX, CEPR Policy Portal

The recent Eurozone Crisis has kindled an animated debate on how to deal with the sovereign debt crisis of a systemic country. In particular, the …

Economics

Coping with the insolvency risk of member states | VOX, CEPR Policy Portal

The experience of the last 16 years shows that EZ is a more crisis-prone regime than other major currency areas like the US, Japan, or the UK. This …

Economics

How does sovereign risk affect bank funding conditions? What can policymakers do? | VOX, CEPR Policy Portal

The financial crisis and the subsequent recession have caused a sharp deterioration in public finances across advanced countries, raising concerns …

Economic consequences of Brexit | VOX, CEPR Policy Portal

What are the economic consequences of leaving the EU? This question is at the heart of the Brexit debate. Some studies address this question by …

Economics

Evaluating and Balancing Country Risk and Regulatory Risk

Author: Lisa Bowyer, CAMS-Audit<p>An initial and on-going risk assessment is the foundation of any compliance system regardless of its scope and the …

Administrative Law

index.baselgovernance.org

This is the sixth edition of the Basel Anti-Money Laundering (AML) Index developed by the Basel Institute on Governance. The Basel Institute …

Search

Mention the word “derivative” outside of a narrow circle of Wall Street and Chicago traders and other market participants, and you’re likely to get …

Best market practice for calculation and reporting of wrong

The global financial crisis has illustrated the importance of the correct quantification of counterparty risk that arises from bilateral …

Measuring Risk In The Economy And Markets

<b>INTRODUCTION</b><p>I was once asked, "How can you measure risk?" That was before the financial crisis. I have spent a lot of time including various types of …

Enterprise Risk Management

Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools

7 January 2013<p>The LCR is one of the Basel Committee's key reforms to strengthen global capital and liquidity regulations with the goal of promoting a …

Supervisory guidance for managing risks associated with the settlement of foreign exchange transactions

15 February 2013<p>Since the original FX settlement risk guidance was published, the FX market has made significant strides in reducing the risks …

Monitoring tools for intraday liquidity management

11 April 2013<p><i>The framework includes i) the detailed design of the monitoring tools for a bank's intraday liquidity risk; ii) stress scenarios; iii)</i> …

Liquidity coverage ratio disclosure standards

12 January 2014<p>This disclosure framework is focused on disclosure requirements for the Liquidity Coverage Ratio (LCR). These requirements will …