Internal ratings-based (IRB) approach
Basel acts on private equity losses
The Basel Committee on Banking Supervision has issued a proposal for determining the capital reserves for bank equity exposures. It promises to be as controversial as the other aspects of the Basel II capital Accord.
Probing granularity
The granularity adjustment, which adjusts risk weightings for credit portfolio diversification, is one of Basel II’s key modelling assumptions. Here, Tom Wilde uncovers a weakness in this assumption arising from the differences in the underlying credit…
Basel II to be re-calibrated for Asian banks
Simon Topping, executive director for banking policy at the Hong Kong Monetary Authority (HKMA), said in July that the proposed Basel II capital accord will be re-calibrated during the current consultation period to make risk weightings for Asia's banks…
Basel bonds Canada
The largest Canadian banks have banded together to share default data, making it much more likely they will all qualify for the most advantageous regulatory capital approach under the Basel II capital Accord.
Basel working group suggests "pragmatic" approach to credit risk expected losses
BASEL - A working group of the Basel Committee of banking supervisors has proposed "a pragmatic approach" to treating expected losses in arriving at a capital charge for credit risk under the internal ratings based (IRB) approach of the proposed Basel II…
The new Accord delayed
Implementation of Basel II has been delayed to 2005, and regulators are revising key elements of their proposals for a new Accord on bank capital.
Reconciling ratings
Basel II
Why Basel must brush-up on credit
Paul Kupiec of the International Monetary Fund argues that unresolved calibration problems remain with the new Basel Accord’s credit risk capital requirements – problems that may lead banks to make damaging risk decisions.
Reconciling ratings
How should internal credit ratings be calibrated to long-term default rates? This multibillion-dollar question is at the heart of the debate over Basel’s IRB approach. In thisarticle, Stefan Blochwitz and Stefan Hohl use simulations to demonstrate wide…
IRBapproach explained
Basel II
IRB approach explained
At the end of this month, the consultation period for the new Basel Accord on bank capital will end. We have prepared a technical section this month devoted to various issues surrounding Basel II. In the first paper, Tom Wilde sheds light on the…
Implications of Basel for credit risk
Credit risk comes under the spotlight in Pillar one of the new Accord, forcing institutions to consider the benefits – and costs – of meeting the regulatory requirements. Jared Chebib, head of credit risk consulting at Andersen’s London office reports.
Justifying granularity
The granularity adjustment for the IRB approach to credit risk contained in Basel II is controversial. Some banks say it is too simplistic. Regulators disagree.
Basel: the new Accord
The Basel Committee’s second consultative paper on reform of the 1988 Accord on capital holds some surprises. Some believe regulatory capital will now have to rise. Dwight Cass reviews the changes, while market experts offer their reaction.
Basel’s flawed paradigm
David Rowe suggests some important tweaks to the new Basel Capital Accord, if it is not to be viewed as reflecting an obsolete definition of capital adequacy.
Basel's new credit model
The Basel Committee’s new consultative paper allows banks to internally rate individual credits. But at the portfolio level, Basel wants to apply a single model framework, based in part on a technical paper published in Risk magazine in October 1998.
Basel part one: the new accord
The Basel Committee’s second consultative paper on reform of the 1988 Accord on capital holds some surprises. Some believe regulatory capital will now have to rise. Dwight Cass reviews the changes.