Tulliver's banking book
less pleasant reading than a man might desire toward Christmas.
This year, Misys has brought to market its innovative Misys Global Risk solution, which enables banks and financial institutions to obtain a holistic view of the enterprise risk exposure at any point in time across both the trading and banking books.
We are the first company that has been able to bring a consolidated view of all risk exposure from both the trading and banking books together under one simplified view.
According to Beltratti, the 'haircuts', or the potential losses on the value of government bonds that the market views as at risk of default, should be applied both to the trading and the banking books
of all lenders in the stress test scenario.
All banks were asked to complete the same test templates that looked at risks on trading and banking books, including exposures to home, corporate and interbank loans, interest rate volatility and credit risks.
CEBS said the test on the banking book stress both the numerator and denominator for capital ratios -- reducing the capital held, and increasing the risk weighted assets.
As a result, the "haircuts" only apply to bonds held in the trading book, although the sovereign stresses do feed into credit losses in the banking book.
Under IAS 39 and Basel II, European banks are required to establish principles for recognising and measuring corporate holdings within their banking books.
The GridServer deployment supports the unique pricing of the group's banking book, a requirement of International Accounting Standard (IAS) 39 and Basel II.
As Jones and Mingo argue, the current division of bank assets between the trading and banking books in and of itself obliges regulators to consider changes since it provides banks with strong incentives to reduce capital requirements through arbitrage.
Furthermore, if banks are adopting a more quantitative approach, regulators may be able to develop more sophisticated and potentially less distortionary capital requirements for banking book exposures.
Basel II Data Manager facilitates modeling across a variety of assets structures for retail and wholesale banking books
and, for comparison, across all allowable approaches under Basel II.