Academic voices dissatisfaction with Basel II
The Basel Committee on Banking Supervision still has a great deal of work to do before the Basel II capital accord can be successfully implemented at financial institutions, Jacques Pézier, director of the risk management group of the ISMA Centre at the University of Reading in the UK, told delegates at a conference on capital allocation held by the Risk Waters Group yesterday.
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 profits in some cases was biased, and that the current proposals neglected business risk, reputational risks, and systemic risk. In March 2003, the final Basel II consultative paper is due to be released, including the results of the third Quantitative Impact Survey. Industry participants are hoping that some of these issues will be addressed in this newest release.
Pézier also said that the accords could cost financial institutions worldwide more than $23.6 billion to implement by 2006.
BaselAlert.com
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Basel Committee
FRTB implementation: key insights and learnings
Duncan Cryle and Jeff Aziz of SS&C Algorithmics discuss strategic questions and key decisions facing banks as they approach FRTB implementation
Basel concession strengthens US opposition to NSFR
Lobbyists say change to gross derivatives liabilities measure shows the whole ratio is flawed
Basel’s Tsuiki: review of bank rules no free-for-all
Evaluation of new framework by Basel Committee will not be excuse for tweaking pre-agreed rules
Pulling it all together: Challenges and opportunities for banks preparing for FRTB regulation
Content provided by IBM
EU lawmakers consider extending FRTB deadline
European Commission policy expert says current deadline is too ambitious
Custodians could face higher Basel G-Sib surcharges
Data shows removal of cap on substitutability in revised methodology would hit four banks
MEP: Basel too slow to deal with clearing capital clash
Isda AGM: Swinburne criticises Basel’s lethargy on clash between leverage and clearing rules
Fears of fragmentation over Basel shadow banking rules
Step-in risk guidelines could be taken more seriously in the EU than in the US