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From Basel 1 to Basel 3: The Integration of State of the Art Risk Modelling in Banking Regulation

Laurent Balthazar

ISBN13: 9781403948885

ISBN: 1403948887

Published: August 2006

Publisher: Palgrave Macmillan

Country of Publication: UK

Format: Hardback

Price: £249.99

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The proposed rules are presented and key issues regarding implementation of the accord identified. The model used to calibrate the capital requirements under Basel 2 is analyzed and projected forward to present what could be key new elements in the future Basel 3 regulation.

Subjects:: Banking and Finance

Contents:: Introduction; PART 1: CURRENT BANKING REGULATION; Basel 1; Market Risk Amendment; Critics of Basel 1; PART 2: DESCRIPTION OF BASEL 2; Overview of the New Accord; Pillar 1: The solvency ratio; Pillar 1: Appendix; Pillar 2: Supervisory Review Process; Pillar 3: Market Discipline; Potential Impacts of Basel 2; PART 3: IMPLEMENTING BASEL 2; Basel 2 and IT Systems; Scoring Systems: Theoretical Aspects; Scoring Systems: Case study; LGD; Implementation of the Accord; PART 4: PILLAR 2, AN OPEN ROAD TO BASEL 3; From Basel 1 to Basel 3; The Basel 2 Model; Extending the Model; Integrating other Kinds of Risks; Conclusions;