Report explores the analytical challenges of the various capital methodologies
Fitch Ratings has published a special report that outlines the proposed revisions to US risk-based capital regulations, the so-called Basel IA introduced in December of 2006 as a simpler and less expensive alternative to Basel II.
'Basel IA: A Fork in the Road' explores the analytical challenges of the various capital methodologies and which approaches are most likely to be chosen by various types of banks. While the final version of Basel IA is yet to be published, it is expected to be provided in advance of the US version of Basel II, which is currently slated for January 1, 2009.
Basel IA, as proposed, modifies the Basel I method of assigning risk-weighted assets (RWA) in several key ways, including: increasing the number of risk weight categories; introducing greater granularity into the stratification of asset classes; and expanding the role of external ratings in determining risk weights for direct exposures, collateral, guarantees and securitizations.
More on Risk Management
This paper analyzes asset rankings derived from state-of-the-art POT approaches to estimate VaR.
Welcome to The Journal of Risk's Online Early Forum. Here you will find the latest peer reviewed, accepted papers before they are available in print. With Online Early publication, users can access...
Sponsored feature: Commerzbank
Sponsored feature: Absa Corporate and Investment Banking
Sign up for Risk.net email alerts
Catch up with the debate at OpRisk's flagship London conference
Sponsored video: Elseware
Oxford professor David Vines argues that the carrot is as important as the stick
Sponsored webinar: IBM
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.