Internal ratings-based (IRB) approach
Q&A: Solving the RWA conundrum
How to define RWAs has prompted debate across the global industry but Standard Chartered head of portfolio risk, Paul Harrald, says he has a solution
HKMA’s tight control over default data inputs reduces RWA significance
Hong Kong doesn't give local banks any latitude over the data inputs to their risk models, says one risk manager from the Special Administrative Region
Writing love letters to models
Love letters to models
Swedish banks braced for home loan capital hike
A weighty issue
BIS paper offers insight into the IRB use test
Principles outlining the BIS’ expectations for firms using the use test have been set out by the BCBS.
Basel II to encourage smaller banks to invest in risky assets
The new Basel II capital rules will encourage smaller banks to invest in riskier assets, according Peter Plaut, a managing director in fixed income research at Bank of America in New York.
Basel II to reduce capital on rated securitisation positions
The minimum capital requirements under the new Basel framework, also known as Basel II, will lower the amount of capital that implementing banks will be charged for rated securitisation positions, according to new research by FitchRatings, the rating…
China's largest banks prepare for Basel II
Increased competition and the desire to expand overseas is forcing Chinese banks to start preparing for the implementation of the new Basel Accord, also known as Basel II, according to supervisory officials in that country.
PD estimates for Basel II
One of the main issues banks will have to face to comply with the new Basel II internal ratings-based approach is to prove that the long-run average probabilities of default they assign to their clients, which will be used as the basis for regulatory…
Setting a target for Basel II
Singapore and South Korea regulators set deadlines for Basel II
Basel Committee forms validation subgroup
The Basel II Accord Implementation Group (AIG) has established a subgroup to examine issues related to validation. The subgroup is chaired by Lorey Hoffman of the Canadian Office of the Superintendent of Financial Institutions, and consists of both Basel…
American regulators release proposed guidance for IRB systems for retail credit exposures
The Federal Reserve System, the Federal Deposit Insurance Corporation, the Office of the Comptroller of the Currency and the Office of Thrift Supervision (The Agencies) have proposed guidelines for Internal Ratings-Based Systems for Retail Credit Risk…
Basel II revised default correlation values reflect industry experience, says Fitch
Basel II revised credit card default correlation values will be crucial guidelines to credit portfolio analysis under the IRB approach, says Fitch Ratings, a rating agency based in New York.
The poet of risk regulation
Jaime Caruana has been seeking harmony in his role as chairman of the Basel Committee on Banking Supervision. Now that the final text of the new Basel Accord has finally been released, Caruana can comment on the work he has done – and give his views on…
Basel II simplifies management of credit portfolios, says BIS
Basel II will facilitate early detection of the quality of a credit portfolio because it allows for progressive estimation of the probability of default (PD) of borrowers, according to the Basel Committee on Banking Supervision.
Basel II simplifies management of credit portfolios, says BIS
Basel II will facilitate early detection of the quality of a credit portfolio because it allows for progressive estimation of the probability of default (PD) of borrowers, according to the Basel Committee on Banking Supervision.
Basel II simplifies management of credit portfolios, says BIS
Basel II will facilitate early detection of the quality of a credit portfolio because it allows for progressive estimation of the probability of default (PD) of borrowers, according to the Basel Committee on Banking Supervision.
HKMA takes the lead
The Hong Kong Monetary Authority has put together its national implementation guidelines for Basel II, making it one of the first regulators globally to detail its qualifying criteria for those banks aiming for the internal ratings-based approaches in…