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Basel III: the price of a stable banking sector

Implications of banking regulation for banks and their corporate clients

The BIS’s new capital requirements for banks, also known as Basel III, draws the attention of various stakeholders. It’s not only the banks that are keen to take note of these additions to the Basel II Accord of June 2006, but their professional clients also want to understand the implications for them. This article provides some suggestions on how to cope with the consequences of Basel III.

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How to value a cross-currency swap

Since the first transaction in 1981 between the World Bank and IBM, the market of cross-currency swaps has grown rapidly. It represents, according to the Bank of International Settlements, an outstanding notional amount of USD 16,347 billion as per June 2010. In this article we will discuss how cross-currency swaps work, and how to value them.

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Model validation: pain or gain?

These days you no longer have to explain to people that mathematical models are used in the financial world. They are more than often pointed to when people try to find what started the crisis! As an econometrist and consultant on risk management, I find it rather difficult to agree with that. But I cannot deny either that misuse of the models has played a role in the financial crisis.

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How do you value a credit default swap?

Warren Buffet once called these products 'weapons of mass destruction', how do credit default swaps work?

Multi-billionaire Warren Buffet once called these products 'weapons of mass destruction', because he thought they were partly responsible for causing the credit crunch. Despite this remark, there is still a buoyant trade in credit default swaps. Here we discuss how they work, and how they are valued.

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A structured approach to pricing

The importance of a structured and consistent approach towards setting interest rates for inter-company loans.

Multinational companies are increasingly faced with regulatory requirements from tax authorities worldwide regarding the pricing of inter-company loans. This article looks at the importance of a structured and consistent approach towards setting interest rates for inter-company loans – an area with which many companies struggle.

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