Academic voices dissatisfaction with Basel II

Basel II will determine from late 2006 how much of their assets major banks must set aside to absorb unexpected losses from banking risks, including credit, market and operational risks.

Pézier said the Basel II risk assessment methodologies for credit risk and operational risk were still “dubious”. For example, he questioned why the proposals as written required combining expected losses and unexpected losses, as well as linearity and additivity assumptions. He also said that treatment of p

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