IRL Summary – An adaption of the Basel III Liquidity Coverage Ratio to the Colombian Market
Background – Basel III & The Liquidity Coverage Ratio The depth and breadth of the subprime crisis at the end of the last decade exposed deep-rooted weaknesses in market risk…
Capital and Liquidity Regulations – Categories and Impact Analysis
The final rule revises the criteria for determining the applicability of regulatory capital and liquidity requirements for large U.S. banks and U.S. IHC’s (Intermediate Holding Companies) of certain foreign banking…
Capital and Liquidity Regulations – Risk Based Indicators
The Board of Governors of the Federal Reserve System (Board), the Office of the Comptroller of the Currency (OCC), and the Federal Deposit Insurance Corporation (FDIC) (together, the agencies) published…
LCR – EBA analysis, European banking industry
On October 2019, the European Banking Authority (EBA) published a report with the analysis of the Liquidity Ratio par excellence, Liquidity Coverage Ratio (LCR). This study was carried out from…
Stress Liquidity Test European Banking 2019 – Main Conclusions
Recently, a press release has been published on the ability of European banks to withstand a prolonged crisis situation affecting their liquidity. This article is based on the results of…
MAT, a new generation ALM tool
MAT arises with the objective of responding and providing solutions to current challenges faced by financial institutions.
Non-performing loans in the European Union
As the global economy continues to grow, expansion throughout the Eurozone remains subdued by remnants of the global financial crisis. The recovery pace of the Eurozone has far lagged that…
A comparison between parametric and non-parametric risk modeling -VaR-
Value-at-Risk (VaR) is a short-term risk statistic used to forecast downside losses. The traditional VaR methodology has many assumptions, the most noteworthy that it assumes continuous returns are normally distributed,…