Organizations encounter risk every day as they pursue their objectives. Risk appetite — the amount of risk organizations are willing to accept in pursuit of their objectives — is an integral part of an effective ERM system. This thought paper aims to help organizations develop, better articulate, and implement “risk appetite.” It provides [...]
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Posted on January 25th, 2012
Posted on January 19th, 2012
Proposed Enhanced Prudential Requirements for US-Based Systemically Important Financial InstitutionsOn December 20, 2011, the Federal Reserve proposed regulations to implement the enhanced prudential standards mandated by Section 165 and the early remediation requirements mandated by Section 166 of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) with respect to US based systemically important financial institutions. This memorandum provides [...] Posted on January 18th, 2012
Taking into account the stipulations in the FSB and BCBS documents and the comments received on the draft guidelines, Reserve Bank has finalized the compensation guidelines enclosed as Annex for implementation by private sector and foreign banks from the financial year 2012-13. These guidelines will supersede the Reserve Bank’s extant guidelines relating to [...] Posted on January 18th, 2012
Risk management through marginal rebalancing is important for institutional investors due to the size of their portfolios. This paper considers the problem of marginally improving portfolio VaR and CVaR through a marginal change in the portfolio return characteristics. The authors study the relative significance of standard deviation, mean, tail thickness, and skewness in [...] Posted on January 16th, 2012
OSFI strongly supports the objectives of the proposed restrictions on banking entities, namely to ensure that the trading activities of banks operating in the US and their relationships with hedge funds and private equity firms do not undermine the financial condition of those banks, nor the stability of the US financial system as [...] 83 pages
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