ICAAP and ILAAP European guidelines. What is ICAAP? Internal Capital Adequacy Assessment. Internal Capital Adequacy Assessment Process (ICAAP) is an internal review requirement that evaluates capital adequacy, capital management and planning at banks with a specific focus on core risk factors. Expected to be reviewed
Month: March 2016
Basel III Credit Risk – Standardized Approach. The Basel III standard issued by BIS has been up for discussion and debate. BIS issued a first consultative paper on the revisions to the standardized approach to credit risk in December 2014. A second consultative paper was
Bank Stress Test. A changing model. Bank failures are such a traumatic event for society at large. Think of bank failure and the first few images that come to our mind are tragedy and social upheaval. Pre 2008 our generation had only heard of the
Using Copulas to Model spread between crude oil blends. Brent is the European crude oil blend. WTI is the North American pricing benchmark for crude oil. While Brent is used to price bulk of the crude oil cargoes purchased and sold across the world, WTI
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Hob House – Kenya Art Collection Two weeks ago, I wrote about my brilliant stay at Hob House – a hidden Nairobi gem that also moonlights as a bed and breakfast. While I spoke about Kelly’s hospitality and her magical kitchen I didn’t really get a
Building Copulas in Excel. Foundations. Copulas – revisiting the definition. In our first lesson on Copulas in Excel we introduced the concept of marginal (individual) distributions for the two blends of crude oil we are interested in modeling. We also spoke about a joint distribution
Presenting credit memo for credit committee approval The credit committee or loan committee review meeting is the final trial by fire for the loan proposal (credit memo) prepared by the loan officer and the credit analyst. While credit risk as a function and a business
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Loan officer skill sets. Between a credit analyst and a relationship manager. A successful loan officer (credit analyst and/or relationship manager) wears many hats. Sourcing is his first hat. To be on the lookout for customers with the right profile and numbers who are looking for
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Khuda Buksh Tributes from the field. It’s this part of the tribute that moved me the most. I know many of these names and they were all a class above what we consider classy today. In 2016 very few of them remain. I remember how