QIS5 results show US right to worry
BASEL AND LONDON – The results of quantitative impact study five (QIS5), released in June, left one US regulator proclaiming that he had been correct to be cautious after the QIS4 results showed wide swings in regulatory capital requirements as a result of the implementation of Basel II. Basel Committee on Banking Supervision members, on the other hand, firmly stuck to their guns and said no adjustments would be made to Basel II as a result of QIS5.
The QIS4 results – which focused only on the advanced internal ratings-based approach under credit risk as that is the only approach being allowed in the US by banks implementing Basel II – showed a 12.5% decline in required capital.
Meanwhile, the QIS5 results for the A-IRB approach showed a 7.1% decline for G-10 Group 1 banks, while G-10 Group 2 banks showed a whopping 26.7% decline. EU banks in Group 1, as calculated by the Committee of European Banking Supervisors, showed a 8.3% drop, while
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