Overview of the Basel Capital Adequacy Framework

The Basel Capital Adequacy and Regulatory Framework: Balancing Risk Sensitivity, Simplicity and Comparability

As well as highlighting the importance of cost benefit analyses in decisionmaking processes where (expected) outcomes are very difficult to predict – given the degree of prevailing and potential risks and uncertainties, as well as the unquantifiable nature of such risks and uncertainties, this paper also illustrates the importance of complementary measures in the current Basel risk based capita...

New Capital Adequacy Framework

Basel-2 capital adequacy: Computing the dfairT capital charge for loan commitment dtrueT credit risk

This research makes two contributions: (i) to price analytically put option and extension premium embedded in a borrower-extendible commitment, and (ii) to compute the dfairT capital charge that corresponds to the commitment dtrueT credit risk. In doing so, the procedure replaces the BIS accountingbased concepts of credit-conversion factor, principal-risk factor, and initial term to maturity of...

New Basel Capital Accord

Copula-application to modelling Russian banking system capital adequacy according to Basel II IRB-approach

According to the strategy of the banking system development until 2015, the Central Bank of Russia is going to implement Basel II Internal-Ratings-Based (IRB) approaches in 2015, while Basel III is planned to be introduced in full starting from 2019. Taking into account the effects of the Basel II regulation during the crisis 2008–2009, in particular, the excessive procyclicality of the capital...