ERM Frameworks and Responses to risk [35]

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Bullet points include: Basel II.5 and III include other changes. E.g. IRB approach refined: New qualitative standards. Focus on identifying and justifying risk factors. New quantitative standards (including Stress VaR). Greater emphasis on stress testing. Incremental Risk Charge Model. New requirements on prudent valuation. New requirements on external validation. Changes in treatment of securitisations (incl. correlation trading). And to liquidity requirements (covered in AERM course)

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