Internal ratings-based (IRB) approach
Creative solutions for unique problems
Credit risk management systems are surprisingly sophisticated at many Nordic banks. Ellen Leander examines the changes being made to existing infrastructure to keep that edge.
Op risk floor removed to give flexibility
BASEL, SWITZERLAND - Global banking regulators have removed the operational risk capital floor previously proposed under the Basel II capital accord to give banks flexibility in developing op risk management systems.
Beyond the pail
Australia’s regulator has hinted that it may work outside of the Basel Accord to set its own risk weightings for residential mortgages if adjustments aren’t made, writes Nick Sawyer.
Basel II could reinforce economic cycles more than expected, says BIS study
BASEL – The Basel II bank capital accord could reinforce economic cycles to a greater extent than expected, according to a working paper issued today by the Bank for International Settlements (BIS), the so-called central bankers’ central bank.
Compromises allow Basel II to progress
The Basel Committee on Banking Supervision said last month that there were no substantial issues remaining with the complex Basel II capital Accord, after a series of compromises involving the capital treatment of loans to small and medium-sized…
Credit card capital charges will be lower under Basel II
Major banks will probably have to set aside a lot less capital as a cushion against losses from defaulting credit-card holders under the Basel II bank accord than they in effect do now, global banking supervisors said in early July.
Survey shows modifications could lower Basel II credit risk charges
Banks using a more complex risk measurement approach under the Basel II bank accord, if potential modifications are put in place, would have lower credit risk capital charges than under the current Basel I accord.
A cost/benefit approach to Basel II
The cost of implementing Basel II could put banks at a competitive disadvantage compared with non-banks, and spur them to ‘de-bank’ to avoid this regulatory burden. Harry Stordel and Andrew Cross say regulators must look at the provisions from a cost…
S&P: compromises could lead to “meaningless” Basel II
Global banking regulators must take great care to ensure the Basel II capital Accord isn’t overly weakened or even rendered meaningless by compromises over conflicting national interests, credit rating agency Standard & Poor’s (S&P) said in a report…
Credit risk in asset securitisations: an analytical model
How much capital should banks reserve against investments in portfolio securitisations? Asserting that recent proposals on this subject by Basel are inconsistent, Michael Pykhtin and Ashish Dev propose a new analytical model suitable for tranches of…
The future for Basel II
With Basel II delayed yet again, will revisions to the capital Accord happen at all? David Rowe says Basel I is the best argument for persevering, but any revisions must address regulatory arbitrage problems and take greater account of the full range of…
Gaining an edge from Basel
The recent recommendations of the Basel Committee are set to usher in a period of upheaval for many participants in the banking sector. Standard & Poor’s Anthony Albert looks at how to gain a competitive advantage in credit risk management in the light…
Dealing with the flak
With the final Basel Accord proposals due to be published later this year, the Bank of International Settlements’ new Asian head, Shinichi Yoshikuni, does not have much time to settle into his new role, writes Nick Sawyer.
Credit model evaluation
With the new Basel Capital Accord scheduled for implementation in 2005, banks are having to evaluate the credit scoring models that will enable them to meet the minimum standards for Basel’s internal ratings-based (IRB) approach. Selecting an appropriate…
Swiss and UK banks set to win as Japanese lose in Basel II
Swiss and UK banks are poised to be the main beneficiaries of the proposed new regulatory capital Accord, Basel II, according to results from the Basel Committee on Banking Supervision’s quantitative impact study 2.5 (QIS2.5).
Stepping up for Basel
South Korea’s banks stand to be the hardest hit by the new Basel recommendations, forcing institutions to focus on improving risk management operations. Vikki Kunz reports from Seoul.
Will Germany scupper Basel II?
How real is Germany’s threat to veto the proposed Basel II bank capital accord if the country fails to get the concessions it wants on the accord’s treatment of bank lending to small to medium-sized companies (SMEs)?
Regulators looking at possible changes to Basel II credit risk plans
Basel - Global banking regulators are studying possible changes to the credit risk proposals of the complex Basel II bank capital accord, after seeing evidence that banks face higher capital charges under Basel II than they do under the current Basel I…
Could the Basel II op risk charge be cut again?
BASEL - Might banking regulators agree again to lower the capital charge for operational risk proposed under the controversial Basel II bank capital accord as part of horse-trading over the credit risk charge?
A spanner in the works
The US and Germany are in a standoff over Basel II’s capital charge calculation for SME lending. Without a compromise this month, the issue threatens to derail implementation of the Accord and the European Directive.
Basel regulators may scrap 90% IRB floor for credit risk
Global banking regulators will soon abandon their controversial 90%, two-year floor on the benefit banks could reap by moving to the advanced internal ratings based (IRB) technique for calculating capital charges against credit risk under the Basel II…
Preparing for the worst
Small and medium-sized banks in the US and Europe are bracing themselves for Basel II. Gallagher Polyn examines how these institutions plan to adapt to the new Accord.
The shifting sands of Basel II
Four months after the Basel Committee on Banking Supervision closed the consultation period on its January 2001 draft for a new international capital Accord, it has already made major amendments to its proposal.
Pro-cyclicality in the new Basel Accord
Could Basel II worsen recessions? By backtesting the proposed capital rules to the last recession, D. Wilson Ervin and Tom Wilde argue that the increased risk sensitivity of loan portfolio regulatory capital in the new Accord could have unwelcome…