Purpose – The purpose of this paper is to demonstrate that certain rules, implemented as a result of the Dodd-Frank Act (DFA) of 2010, should be harmonized between economically equivalent products in swap and futures markets to prevent regulatory arbitrage. Design/methodology/approach - The...

Purpose – The purpose of this paper is to revisit the ordered probit model of Hausman et al. after the NYSE decimalization. Design/methodology/approach –The changed ordered probit model. Findings - The model can somewhat capture the different impact of trading-related “explanatory”...

Purpose – The purpose of this paper is to present a policy proposal for building a new framework for gathering, measuring and disclosing financial risk information in the global economy. Design/methodology/approach -The paper examines the current state of the financial risk framework, notes...

Purpose – The purpose of this paper is to focus on the “Basel Illusion”, the belief that a model-driven quantitative approach to capital adequacy can lead to a more robust and shock-proof system. The author analyzes the Basel framework and its role as a major source of systemic risk....

Purpose – This paper, based on case-studies with five universal banks from Europe and North America, aims to investigate which types of comprehensive risk measure (CRM) models are being used in the industry, the challenges being faced in implementation and how they are being currently...

Purpose – The purpose of this study is to analyze the aggravating and mitigating factors considered by the Investment Dealer Association (IDA)’s (Now IIROC) hearing panels when determining penalties. Design/methodology/approach -To conduct this research, Quicklaw’s database Securities...

Purpose – This study aims to survey supervisory requirements and expectations for counterparty credit risk (CCR). Design/methodology/approach - In this paper, a survey of CCR including the following elements has been performed. First, various concepts in CCR measurement and management,...

Purpose – The paper aims to explore the impact of economic freedom on the efficiency of the Malaysian banking sector. Design/methodology/approach - The analysis is confined into two stages. In the first stage, the bias-corrected data envelopment analysis method is used to compute the...

Purpose –The purpose of this paper is to outline how banks are coping with the new regulatory challenges posed by stressed value at risk (SVaR). The Basel Committee has introduced three measures of capital charges for market risk: incremental risk charge (IRC), SVaR and comprehensive risk...

Purpose – The purpose of this study is to explore whether the present measures being taken by the New Zealand (NZ) government are strengthening its non-banking sector effectively to address the recent financial crisis and ensure better financial stability to the economy....