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Conv by: santosh
Icon-thread a reply to David Rowe’s Risk Analysis Web Log - Join the Conversation
by David Rowe - Sungard on Apr 18, 2007 - 12:06 AM read 324 times
Source: http://www4.sungard.com/blogs/riskManagement/?p=3#comment... 		External

Hi David,

I full agree with your points that,

(a). CCR exercise should not be just a regulatory exercise (for that matter not just CCR, but the entire Basel II framework)

(b). Committee’s proposal is not to just reduce minimum regulatory capital, but to provide the risk sensitivity to CCR

I do also agree that only analytical approximations are not sufficient to measure the CCR, but the Quasi MC techniques. However, I feel building an MC engine is not a rocket science these days. By considering the benefits out of risk sensitiveness provided by effective EPE, Banks can always think of going for the Internal Models Method provided by the committee.

Can you please provide your thoughts on ‘own estimation of Alpha’ as part of the CCR measurement.


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