ERM Frameworks and Responses to risk [30]

Go to: Summary | Previous | Next   
Bullet points include: In practice, to mitigate model risk regulators/supervisors apply arbitrary multiplier (3, rising to 4 if model used is not performing well) Can be viewed as a way of achieving a given overall capital base Now introducing a ‘stressed’ VaR Banks nowadays typically have two main types of business Trading activities (esp. Investment banks) – the trading book Lending activities (esp. Commercial banks) – the banking book Which book/activities should be deemed to be subject to market risk? Should loans be accounted for at mark-to-market or an amortised cost?

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile