By L. Balthazar
The booklet covers issues with regards to banking legislation and credits chance modelling. The proposed ideas are provided and key concerns relating to implementation of the accord pointed out. The version used to calibrate the capital specifications less than Basel 2 is analyzed and projected ahead to offer what may be key new components sooner or later Basel three rules. A CD-ROM is integrated to demonstrate regulator versions.
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Additional info for From Basel 1 to Basel 3: The Integration of State of the Art Risk Modelling in Banking Regulation (Finance and Capital Markets)
It had been rather a conservative bank, but in the 1970s the management decided to implement an aggressive growth strategy in order to become Number One in the country for commercial lending. It reached its goal in 1981: speciﬁc sectors had been targeted, such as energy, where the group had signiﬁcant expertise. Thanks to the oil crises, the energy sector had enjoyed strong growth, but at the beginning of the 1980s, energy prices went down, and banks involved in the sector began to experience losses.
These “on-balance equivalents” are then treated as the other assets. The weights of these CCFs are supposed to reﬂect the risk in the different operations, or the probability that the events that would transfer them into on-balance sheet items may occur. 3 CCFs % Item 0 – Undrawn commitments with an original maturity of max. g. g. g. general guarantees of indebtedness …) – Sale and repurchase agreements – Forward purchased assets For instance, if a bank grants a two-year revolving credit to another OECD bank of 200 EUR, and the other bank uses only 50 EUR, the weighting would be: 50 EUR × 20% (risk-weight for OECD bank) + 150 EUR × 50% (CCF for the undrawn part of credit lines >1 year) × 20% (risk-weight for OECD bank) = 25 25 EUR of risk-weighted assets (RWA) would lead to a capital requirement of: 25 EUR × 8% = 2 EUR 20 CURRENT BANKING REGULATION For the second type of operation, a ﬁrst treatment was proposed in the 1988 Accord, but the current methodology is based on a 1995 amendment.
Its social model was very speciﬁc (life-long guaranteed jobs in exchange for ﬂexibility for wages and working time). The Japanese management style was cited as an exemplar and Japanese companies, including banks, rapidly developed their international presence. Japanese stock and real estate markets were growing, and there were strong American pressures to oblige Japan to open its markets, or even to guarantee some market share for American companies on the domestic market (in the electronic components industry, for example).