<![CDATA[[SecurityRatty] tag: philippines]]> http://securityratty.com/tag/philippines Sun, 06 Aug 2006 23:41:00 +0000 iRatty Engine http://blogs.law.harvard.edu/tech/rss <![CDATA[Basel II Implementation in the Philippines]]> http://securityratty.com/article/a0ebf989e97c81682a74ad46c596e893 http://securityratty.com/article/a0ebf989e97c81682a74ad46c596e893 Bangko Sentral ng Pilipinas (BSP) has set June 2007 as the date of implementation of the revised capital adequacy framework. The latest version of the framework is very much in line with Basel II. Major changes that are expected to have significant impact on the ratios would be the addition of an operational risk capital charge and the revision of the risk weight for Philippine government foreign currency bonds (ROP) from 0% to 100%.

In a previous circular, securities booked under Available for Sale (AFS) are taken out of market risk charge and are now considered as Banking Book exposures. I'm not sure why this is the case because these positions clearly have exposure to fluctuation in rates and are revalued accordingly. Profit or loss are then recognized in equity. This actually prompts banks to book everything under AFS (especially Philippine Gov't Peso bonds which have 0% credit risk weight) to avoid market risk charges.

As with Basel II, the framework does not directly address market risks in the banking book and leaves these as Pillar II issues.

Read more about Basel II initiatives in the Philippines:

Bangko Sentral ng Pilipinas (BSP)
The Asian Banker

Tags: ]]> Mon, 14 Aug 2006 21:17:00 +0000 philippines basel bsp philippines framework capital adequacy framework credit risk weight risk weight bsp book exposures Basel II Implementation in the Philippines <![CDATA[Do you use Bloomberg for Risk Measurement?]]> http://securityratty.com/article/9f5b342c779060f94e34913f60ec58c8 http://securityratty.com/article/9f5b342c779060f94e34913f60ec58c8 Bloomberg is holding a Market Risk Seminar this month. But before the details, here are my comments.

I've attended Bloomberg seminars before and there is usually a sales pitch somewhere. Looking at the event's lineup of speakers, 4 out of 5 speakers are from Bloomberg (an Algo risk solution is embedded in Bloomberg). Although the topics may sound relevant, they're just intro material to Bloomberg functionalities and add-on services. For those looking for risk management solutions for their organization and looking to comply with Basel II, Bloomberg will present itself as a viable option in this seminar. Bloomberg would more likely say: "Since you are already Bloomberg users, why not leverage on your subscription and use our built-in risk solutions (at an added cost of course)?"

Generally, practitioners I know would trust Bloomberg in a majority of the raw figures that they give out. But when it comes to calculations, some would take them with a grain of salt. Personally, I find the risk solutions of Bloomberg to be less than adequate for the following reasons:

  • Limited instrument coverage
  • Not flexible
  • Lack of transparency (Black Box)

But of course, it would never hurt to sit in a Bloomberg seminar and learn best practice (if ever they are presented) and to discover some new things that our beloved system has to offer.

And now for the seminar details.

Topics:

  • Importance of Market Risk Management
  • Risk measures for fixed income securities and derivatives
  • Reliable data for your risk management systems
  • Market risk management in alignment with Basel Accord
  • Algo Risk on Bloomberg - a pre-integrated, real time market risk solution

Speakers:

  • Nestor A. Espenilla, Jr. - Deputy Governor, Bangko Sentral ng Pilipinas
  • Seet Kok Leong - Head of Algo Risk (Asia Pacific), Algorithmics
  • Jiten Bhanap - Product Specialist, Bloomberg L.P.
  • Ivan Koh - Regional Data Solutions Manager, Bloomberg L.P.
  • Neo Siang Noi - Trading Systems Sales Specialist, Bloomberg L.P.

Date:

15 August 2006

Venue:

Makati Shangri-la Manila, Ayala Avenue corner Makati Avenue, Makati City 1200, Philippines

Time:

9:30am - 2:00 pm

Registration:

BU on Bloomberg

email: awang@bloomberg.net

tel: +63 2 849 7100 loc. 4794


*Lunch will be served

Tags: finance derivatives market risk risk management bloomberg seminars courses


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