Blog

Sun, 31 May 2015
Written by

Katalysys will be participating as an alliance partner at Lombard Risk's 2nd Annual Regulatory Update Conference. Katalysys's CEO, Alvin Abraham, will be participating in the panel discussion looking at the short/medium term regulatory issues, particularly liquidity reporting (LIQREP).

 

Please feel free to register for this event using the link below:- 

Lombard Risk 2nd Annual Regulatory Update Conference

 

Do visit us at the exhibition stands in the refreshment area.

 

Sat, 14 February 2015
Written by Alvin Abraham

The Prudential Regulatory Authority (PRA) published a consultation paper (CP27/14) on the proposed changed to liquidity risk management and reporting, based on CRDIV.

Please refer to the link below for an overview of the proposed changes as applicable to small- and medium-sized banks and investment firms:- 

 

COREP for small- and medium-sized banks and investment firms.

 

Please feel free to This email address is being protected from spambots. You need JavaScript enabled to view it. if you need any assistance with your COREP/LIQREP implementation.

Fri, 15 November 2013
Written by Alvin Abraham

For Over –the- Counter (OTC) derivatives, in addition to the default risk capital requirements for counterparty credit risk, firms must calculate an additional capital charge to cover the risk of mark-to-market losses associated with deterioration in the creditworthiness of the counterparty. As the counterparty’s financial position worsens, the market value of its derivatives obligation declines, even though there might not be an actual default. During the financial crisis the CVA risk was a greater source of losses than those arising from outright defaults.

The CVA is the difference between the risk-free value of a portfolio of trades and the market value which takes into account the counterparty’s risk of default.  The CVA therefore represents an estimate of the adjustment to fair value that a market participant would make to incorporate the credit risk of the counterparty due to any failure to perform on contractual agreements.

For an overview of Credit Valuation Adjustment (CVA), please refer to our recent paper available under at the following link.

 

Credit Valuation Adjustment a simplified view.

 

Please feel free to This email address is being protected from spambots. You need JavaScript enabled to view it. if you need any assistance with the CVA calculations or for our automated CVA calculation tool.

Mon, 05 August 2013
Written by Alvin Abraham

The new Capital Requirements Regulations (CRR) and Capital Requirements Directives (CRD), commonly referred to as CRD IV, was published in the official journal of the European Union on 27 June 2013. Based on which the Common Reporting (COREP) framework comes into effect starting  1 January 2014.

 

For an overview of COREP for small- and medium-sized banks and investment firms, please refer to our recent paper available under at the following link.

 

COREP for small- and medium-sized banks and investment firms.

 

Please feel free to This email address is being protected from spambots. You need JavaScript enabled to view it. if you need any assistance with your COREP implementation.