"Introduction to Quantitative risk regulation: Basel easy as I-II-III “
Today in 2011 nobody questions the necessity of prudential regulations in banking matters. However, only a few know the complexity and the rationale between each of the numerous bodies of rules, some empirical, some theoretical, that slowly grew from Basel I up to the present Basel III. The lecturer, a past member of the Basel Committee subgroup on Operational risk, and former senior member of the French Banking Supervision policy department, exposes sequentially :
a) the history of Basel regulations ;
b) the mechanics of the different banking regulatory bodies ;
c) the organization of the corpus of rules ;
d) the influence of the quantitative characteristics of Basel regulations, while taking examples from the field of Operational Risk quantitative modeling.
"Overview of Risk models, their strengths and weaknesses"
Risk models vary quite largely in terms of objectives, scope and precision. Basic features are reviewed for models dealing with Market risk, Credit risk, and Operational risk. Their relative strengths and weaknesses are analyzed , and hints at how they might be improved, at a certain cost in complexity , are offered.
Some insight is also shed on new introductions in regulations such as Liquidity risk , Systemic risk and new proposals like Incremental risk charge.