The Basel Handbook
First published:
ISBN: 9781904339557
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Validation of Banks’ Internal Rating Systems – A Supervisory Perspective
Stefan Blochwitz and Stefan Hohl
Development and Validation of Key Estimates for Capital Models
Explaining the Correlation in Basel II: Derivation and Evaluation
Explaining the Credit Risk Elements in Basel II
Loss Given Default and Recovery Risk: From Basel II Standards to Effective Risk Management Tools
Assessing the Validity of Basel II Models in Measuring Risk of Credit Portfolios
Measuring Counterparty Credit Risk for Trading Products under Basel II
Implementation of an IRB-Compliant Rating System
Stress Tests of Banks’ Regulatory Capital Adequacy: Application to Tier 1 Capital and to Pillar 2 Stress Tests
Advanced Credit Model Performance Testing to Meet Basel Requirements: How Things Have Changed!
Designing and Implementing a Basel II Compliant PIT–TTC Ratings Framework
Basel II in the Light of Moody’s KMV Evidence
Basel II Capital Adequacy Rules for Retail Exposures
IRB-Compliant Models in Retail Banking
Basel II Capital Adequacy Rules for Securitisations
Regulatory Priorities and Expectations in the Implementation of the IRB Approach
Market Discipline and Appropriate Disclosure in Basel II
Validation of Banks’ Internal Rating Systems – A Supervisory Perspective
Rebalancing the Three Pillars of Basel II
Implementing a Basel II Scenario-Based AMA for Operational Risk
Loss Distribution Approach in Practice
An Operational Risk Rating Model Approach to Better Measurement and Management of Operational Risk
Constructing an Operational Event Database
Insurance and Operational Risk
VALIDATING IRB SYSTEMS AND BASEL II
General remarks and some specific issues
The revised risk-based capital framework (Basel II) developed by the Basel Committee on Banking Supervision (BCBS)11The Basel Committee on Banking Supervision is a committee of banking supervisory authorities that was established by the central bank governors of the Group of Ten countries in 1975. It consists of senior representatives of bank supervisory authorities and central banks from Belgium, Canada, France, Germany, Italy, Japan, Luxembourg, the Netherlands, Spain, Sweden, Switzerland, the United Kingdom and the United States. aims at further strengthening and stabilising banking systems around the world. This framework was published in June 2004 and is a revision to regulatory capital adequacy for internationally active banks (see BCBS 2005). It carefully presents guidelines for enforcing consistencies on capital-adequacy regulation across countries in order to minimise competitive inequality among international banks, thereby securing international convergence while recognising differences in banking systems worldwide.
This chapter discusses challenges faced by supervisors and banks for the
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