Basel II

literature available on the additional procyclicality of regulatory capital charges in Pillar 1 of Basel II. In this section, we shall briefly visit this literature and see if any conclusions can be drawn from this, before proceeding to the conclusion and mitigation of these procyclical effects. The majority of the literature, as expected, focuses primarily on the IRB approach, as this aspect of Basel II has drawn the most criticism from financial practitioners and academics alike. The greater part

Ch. 2.2 Risk Management Regulations Basel II Carrying out Framework which is a set of integrated services that enable banks toward advanced risk management approaches. The framework includes a methodologies, set of tools, industry’s best practices and ready to deploy assets that shorten the implementation time and suggestively reduce risks rising from noncompliance, poor quality administration, and budget and time over runs. The Basel Committee on Banking Supervision is an institution made by the

SCENARIO ANALYSIS FOR BASEL II OPERATIONAL RISK MANAGEMENT 1 Introduction: Scenario Analysis for Potential Catastrophic Losses 1 2 Addressing Operational Risk 3 3 Scenario Analysis in a Risk Measurement Framework 5 4 Scenario Analysis in a Risk Management Framework 6 5 Achieving Risk Measurement and Management 6 6 Conclusion: Benefiting from Scenario Analysis 7 1 Introduction: Scenario Analysis for Potential Catastrophic Losses “Are you saying that you want us to figure out how to lose R50 million

R2 BCBS CAR CCF Coef. CRD FIRB FSA ICAAP IFRS IRB LGD N NI NPL NPLR PD P-value R2 ROA ROE RORAC RWA SFSA Signif. TL TSE Adjusted R-squared Basel Committee on Banking Supervision Capital Adequacy Ratio Credit Conversion Factors Coefficient Capital Requirements Directives Foundation Internal Rating-based Financial Supervisory Authority Internal Capital Adequacy Assessment Process International

Additionally, the committee has proposed new capital adequacy standard, namely Basel III, to compensate for the shortcomings of Basel II. The following are the two interrelated factors that may have led the committee to consider a move from Basel II to Basel III. 2.1.1. Factor 1 It can be argued that the global financial crisis (GFC) shook the foundation that the global economy was built upon. APRA (2012, p.3)

CHAPTER I INTRODUCTION 1.1 Background Basel Capital accord is a capital adequacy framework developed by the Basel committee. In 1988, the Basel Committee decided to introduce a capital measurement system commonly referred to as the Basel Capital Accord. This system provided for the implementation of a credit risk measurement framework with a minimum capital requirement of 8% on banks Risk Weighted Assets (RWA). The 1988 framework is also known as "Basel – I". Since 1988, this framework has

Problems • Manages Operational Risk • Restricts banks from taking excessive risk Manipulation of Capital Standards 4-7 • Quality of Capital Resources • Internal Rating Based (IRB) approach under Basel-II • Securitization • Credit Derivatives

A. Basel I contained two primary objectives, the first is to help to strengthen the soundness and stability of the international banking system, the second is to alleviate competitive inequalities. Basel I not only increases sensitivity of regulatory capital differences in risk profiles, in addition, it considers about balance sheet exposures when assessments of capital adequacy are undertaken(Ojo, Marianne 2011). However, the framework also discourages banks to keep liquid and low risk assets

Financial Crisis and Basel Capital Adequacy Accords Module identifier: AC30500 Student number: 149016382 Introduction: Financial crisis has been regarded as one of the most important issues in recent years, especially after the previous financial crisis during 2007-2009. As the impact of the financial crisis is growing, the way to restrain and prevent the financial crisis has become the main research direction. This essay is going to analysis the improvement of the financial

Evolution of Basel Norms and their contribution to the Subprime Crisis The article highlights the emergence of the Basel Accord in 1998 and how it has evolved over the course of the last 23 years. Contrary to the popular belief capital regulations have been considered the biggest underlying factor of the subprime crisis owing to securitization, the shadow banking system and the flexibility given to banks in risk assessment. The recent Basel III norms though aim to mitigate the already caused damage