The goal of the international Basel II accord is to arrive at capital requirements that better reflect risk in a bank. However, the Basel II capital requirements as embodied in the US banking agencies’ recent proposal fall short of that mark. The American Bankers Association (ABA) — which has long ... click here for more details.

Volatility, cost, diversification and risk are among the important factors that determine the success or failure of an asset allocation plan. Jesse Phillips breaks down the components of this investment process, explores modern portfolio theory and discusses implementation challenges and the role of risk budgeting.

What is a business-owned risk self-assessment (RSA)? What specific steps must a firm take to implement an effective RSA approach and what benefits does it provide? How are RSAs complemented by key risk indicators? And what role does internal audit play in evaluating RSAs? Brenda Boultwood investigates.

European insurance companies and regulators are preparing for the 2010 implementation of Solvency II, a riskbased capital accord that shares many similarities with Basel II. Dr. Marco Folpmers and Sjaak Bouma discuss the current state of capital frameworks in the insurance industry, compare and contrast Solvency II and Basel II ... click here for more details.

Overview of articles in this issue.

Todd Petzel reviews the September 2006 blow-up of hedge fund Amaranth Advisors.

What are the building blocks of an economic capital framework and how can a financial services firm use techniques such as standard deviation of loss and joint default probability to measure and manage a portfolio of credit-risky assets? Peter-Paul Hoogbruin offers a detailed economic capital example.

Dr. Felixberto Bustos and Maria Amora C. Manabat summarize the issues discussed at the recent GARP Philippines chapter meeting and provide an overview of the risk management challenges facing the country’s energy industry.

Driven by recent political and regulatory changes, compliance departments now have more decision-making flexibility. But with this new freedom comes greater risk management responsibility. Kevin Ludwick and Lindsay Thomas examine the evolution of compliance in the UK and US from a risk perspective.