http://blog.rivast.com A blog about rules and behaviours Tue, 07 Sep 2010 09:14:47 +0000 http://backend.userland.com/rss092 en From Die Zeit: Tier 1 ratio 6% Capital conservation buffer 3% (of Tier 1) Countercyclical capital buffer 3% (of Tier 1) Core tier 1 ratio 5% Capital conservation buffer 2.5% (of core tier 1) Countercyclical capital buffer another 2.5% If this is true, you should think about selling bank stock and selling it now http://blog.rivast.com/?p=3866 It struck me over the weekend that there is a spectrum of views on the responsibilities of economists. At one end, you could claim that it is like mathematics: the economist announces the rules at the start of their work, and derives some results from those rules. As ... http://blog.rivast.com/?p=3865 Let's imagine a conversation between banker Bob and a regulator Reg. Reg: OK Bob. You screwed up big in 08. This time, I'm gonna make sure that your bank is safe. Damn safe. Bob: Very well, Reg, I see your point. But what exactly do you mean by ... http://blog.rivast.com/?p=3854 Rajiv Sethi is a clever guy and I have respected his work in the past, but I think that he is materially mistaken about naked CDS. In a recent paper with Yeon-Koo Che he writes: Those who are most pessimistic about the future prospects of the borrower will be inclined ... http://blog.rivast.com/?p=3857 Yves Smith at Naked Capitalism was kind enough to refer to some remarks I and the Streetwise Professor had made about Basel III. That got me thinking about what you can hope to achieve with any set of rules for internationally active banks. First, some general points:The Basel II rules ... http://blog.rivast.com/?p=3843 Bloomberg tells us that The Options Clearing Corp. threatened to liquidate Lehman Brothers Holdings Inc.’s trading positions in the 2008 financial crisis unless Barclays Plc bought its brokerage and took on the defunct firm’s obligations, a lawyer for the U.K. bank told a judge... A similar liquidation of Lehman derivatives ... http://blog.rivast.com/?p=3835 This blog has consistently emphasised (OK, consistently bored the pants off its readers by emphasising) the importance of valuation ranges for financial instruments. For many such things, the idea of a single correct fair value is a mirage. Instead, it is more helpful to think of a range ... http://blog.rivast.com/?p=3830 I was going to amuse myself this morning taking apart a truly awful Felix Salmon posting on the use of the normal distribution in finance. (That's what it is really about - it isn't what Felix thought it was about when he wrote it, which is part of the ... http://blog.rivast.com/?p=3820 The Streetwise Professor points out something that I had not realised about regulatory capital arbitrage: not only do regulatory capital arbitrage opportunities blunt the impact of regulation, but they also produce crowded trades. By definition all the banks who engage in these trades are one way round, while all ... http://blog.rivast.com/?p=3817 Bloomberg reports: Warren Buffett’s Berkshire Hathaway Inc., which has more than $60 billion at risk in derivatives, may scale back offering new contracts because of collateral- posting requirements, said a company executive... “If you are now going to have to post dollar-for-dollar collateral, and you can’t get a price in the market ... http://blog.rivast.com/?p=3809