Gemäß den im Juni 2004 durch den Baseler Ausschuss endgültig verabschiedeten Kapitalstandards (Basel II) sind Kredite in Höhe des so genannten unerwarteten Verlusts mit Eigenkapital zu unterlegen. Für erwartete Verluste hat das jeweilige Kreditinstitut Rückstellungen zu bilden, wobei hier...

The Basel Committee on Banking Supervision and the EU Commission have submitted – widely harmonised – proposals for reforming the capital requirements for banks and investment firms (Basel II). The object of the reform is to strengthen the stability of the financial market by aligning the...

This paper deals with the proposed use of sovereign credit ratings in the Basel Accord on Capital Adequacy (Basel II) and considers its potential effect on emerging markets financ-ing. It investigates in a first attempt the consequences of the planned revisions on the two central aspects of...

Banks using advanced VaR models are expected to hold in a lower amount subject to market risk (ASMR) than banks using simple VaR models because of measuring their risk relatively more accurately. The purpose of this study is to test the hypothesis that advanced VaR models which measures risks...

Measuring, controlling and managing operational risk have played an important role for bank industry endeavors since the publication of Basel II (2006) as the regulatory framework for the effective management and supervision of financial risks. More recently, due to the current financial crisis,...

The exposure of the argentine banking system to real interest rate changes is material and discourages long term credit. Quantification of this risk would help to manage it and may promote new credit, although it is not an easy job, especially in emerging markets. This paper proposes a Value at...

We claim that we currently live in a banking regulatory bubble.We review how: i) banking intermediation theory hinges on dealing with borrower-lender asymmetry of information; ii) instead, the presence of complete information is keystone of finance theory. Next, we document how finance theory...

Purpose – The purpose of this paper is to focus on the “Basel Illusion”, the belief that a model-driven quantitative approach to capital adequacy can lead to a more robust and shock-proof system. The author analyzes the Basel framework and its role as a major source of systemic risk....

Using supervisory data for U.S. banks, we evaluate the alignment of Basel II/III AIRB (advanced internal ratings based) risk estimates with portfolio risk. We use loan performance as a direct measure of portfolio risk as well as less direct market-based measures. Our results document that AIRB...

In this paper, we examine the relationship between banks’ approval for the internal ratings-based (IRB) approaches of Basel II and the ratio of risk-weighted assets to total assets. Analysing a panel of 115 banks from 21 OECD countries that were eventually approved for applying the IRB to...