Bloomberg Focus
15 August 2006Increased regulation of derivatives mkts.
Fundamental theorem of asset pricing.
Risk-neutral valuation.
Arbitrage pricing theory.
Deputy Governor Nestor Espenilla
1) Everyone is slowly moving to Basel 2 Accord
2) Market risk management
3) Financial liberalization - relaxation of banking regulations, intensified competition. Change in emphasis from profit-oriented to risk-return management.
4) sound risk management systems quantify prices and control risk.
5) Fixed income exchange - increase secondary market trading
6) Risk-based examination of recent banks
7) New regulations do not unduly prohibit banks to avail recent/new products
8) VAR - market risk capital requirement. banking - highly dynamic industry, growing complexity, sophistication and concentration.
9) capital treatment for market risk remain unchanged.
10) capital treatment for counterparty credit
- Internal Model Method (IMM)
- Standardize Method
- Current Exposure Method: presently applied domestically
11) Capital treatment
- failed transaction
- double default
- operational risk capital change
12) basic standard approach
13) a. change in market structure, b. increased trading account.
posted by JD @ 11:11 AM
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