Swiss and UK banks set to win as Japanese lose in Basel II
Swiss and UK banks are poised to be the main beneficiaries from the proposed new regulatory capital accord, Basel II, according to results from the Basel committee’s quantitative impact study 2.5 (QIS2.5).
UK and Swiss institutions benefit from more favourable treatment given to their relatively large retail portfolios; while the high probability of default on large Japanese corporate loans has had a negative impact on Japanese capital requirements.
QIS2.5 results were determined as confidential by the Basel Committee, which has been reluctant to publicly release international banking comparison statistics. The results were based on proposed changes to the credit risk calibration curve set out in a Basel paper on November 5. They are only part of ongoing impact studies, with a fourth survey, QIS3, set to be sent to banks in the New Year. This study will include data for the standardised and advanced internal ratings-based approaches for credit risk, along with advanced, foundation and standardised approaches for market and operational risk.
The results from QIS2.5 were more favourable for all financial institutions in all countries, compared with a previous study, QIS2, that used a steeper risk-weighting curve, sparking banker condemnation.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Basel Committee
FRTB implementation: key insights and learnings
Duncan Cryle and Jeff Aziz of SS&C Algorithmics discuss strategic questions and key decisions facing banks as they approach FRTB implementation
Basel concession strengthens US opposition to NSFR
Lobbyists say change to gross derivatives liabilities measure shows the whole ratio is flawed
Basel’s Tsuiki: review of bank rules no free-for-all
Evaluation of new framework by Basel Committee will not be excuse for tweaking pre-agreed rules
Pulling it all together: Challenges and opportunities for banks preparing for FRTB regulation
Content provided by IBM
EU lawmakers consider extending FRTB deadline
European Commission policy expert says current deadline is too ambitious
Custodians could face higher Basel G-Sib surcharges
Data shows removal of cap on substitutability in revised methodology would hit four banks
MEP: Basel too slow to deal with clearing capital clash
Isda AGM: Swinburne criticises Basel’s lethargy on clash between leverage and clearing rules
Fears of fragmentation over Basel shadow banking rules
Step-in risk guidelines could be taken more seriously in the EU than in the US
