Internal ratings-based (IRB) approach
McDonough paints brave new world of bank regulation
Echoing remarks made earlier in the week, William McDonough, president of the New York Federal Reserve Bank, stressed that the results of the third Quantitative Impact Statement (QIS3) being compiled at the moment show that few changes will have to be…
McDonough speaks on QIS3 results, and US regulatory changes
"At this early stage, the results suggest that the incentives built into the New Accord are functioning as we had hoped," said William McDonough, president of the Federal Reserve Bank of New York and the head of the Basel Committee on Banking Supervision…
Niche lenders brace for Basel
Banks with niche lending businesses are scrambling to assemble enough data to allow them to benefit from Basel II's most advantageous capital provisions. Gallagher Polyn reports on one successful initiative.
Trade associations launch IRB survey
The International Swaps and Derivatives Association, the Risk Management Association and the British Bankers' Association today launched a survey of the validation of banks' internal credit ratings, a key element underlying the internal ratings-based …
Basel II to boost both large and small banks' loan prices
The prices of some loan products for retail and middle-market corporate clients will almost certainly rise when banks implement the Basel II capital Accord in 2006, according to speakers at Risk 's Capital Allocation 2002 USA conference this morning.
EU expected to report on Cad 3 progress next week
BRUSSELS – The European Commission is expected to give details on November 18 about how it intends applying the complex Basel II bank safety rules in the European Union, commission officials confirmed today.
Banding together for SME credit risk analytics
Germany's banking associations are taking a leading role in getting the country's fragmented banking sector ready to comply with the Basel II capital Accord. Germany's savings banks association, in particular, says it has internal ratings-based systems…
Data hurdles
The risk management rumour mill has been buzzing in recent weeks with the story that US banking regulators have told the senior management of the country’s 30 largest banks that they will be expected to implement the advanced internal ratings-based (IRB)…
Sponsor's article > Preparing for Basel II - how urgent?
Delays in Basel II have lulled many into complacency. But despite lack of final details for the regulations, David Rowe argues it is not too early to begin planning and initial implementation.
Avoiding pro-cyclicality
David Cosandey and Urs Wolf argue that, for small to medium-sized enterprises, Basel II is pro-cyclical because of a double-counting of the risks. They present two main directions for possible capital rules that would circumvent the pro-cyclicality…
Fed's Gordy criticises Basel II procyclicality adjustment
NEW YORK - The procyclicality ‘smoothing’ adjustment technique likely to form part of the Basel II capital Accord is sub-optimal, according to Michael Gordy, a senior economist in the research and statistics division of the Board of Governors of the…
Stress testing is the best option to counter Basel II cyclicality problem, say regulators
BASEL – Global banking regulators said stress testing of internal ratings based (IRB) methods of measuring bank credit risk is the best option in terms of tackling the possibility that the complex Basel II bank capital accord could reinforce economic…
Sweden’s credit risk maverick
“We don’t like portfolio management,” says Björn Börjesson, executive vice-president and head of the central credit department at Svenska Handelsbanken in Stockholm.
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…