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The New Basel Capital Accord and Questions for Research

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  • Marc Saidenberg
  • Til Schuermann
  • May

Abstract

The New Basel Accord for bank capital regulation is designed to better align regulatory capital to the underlying risks by encouraging better and more systematic risk management practices, especially in the area of credit risk. We provide an overview of the objectives, analytical foundations and main features of the Accord and then open the door to some research questions provoked by the Accord. We see these questions falling into three groups: what is the impact of the proposal on the global banking system through possible changes in bank behavior; a set of issues around risk analytics such as model validation, correlations and portfolio aggregation, operational risk metrics and relevant summary statistics of a bank’s risk profile; issues brought about by Pillar 2 (supervisory review) and Pillar 3 (public disclosure).

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Bibliographic Info

Paper provided by Wharton School Center for Financial Institutions, University of Pennsylvania in its series Center for Financial Institutions Working Papers with number 03-14.

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Handle: RePEc:wop:pennin:03-14

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Keywords: Bank capital regulation; risk management; credit risk; operational risk;

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References

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Citations

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Cited by:
  1. Ojo, Marianne, 2008. "Risk Management by the Basel Committee: Evaluating Progress made from the 1988 Basel Accord to Recent Developments," MPRA Paper 10051, University Library of Munich, Germany.
  2. Loriana Pelizzon & Stephen Schaefer, 2005. "Pillar 1 vs. Pillar 2 Under Risk Management," NBER Working Papers 11666, National Bureau of Economic Research, Inc.
  3. Jean-Charles Rochet, 2004. "Rebalancing the three pillars of Basel II," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 7-21.
  4. Loriana Pelizzon & Stephen Schaefer, 2007. "Pillar 1 versus Pillar 2 under Risk Management," NBER Chapters, in: The Risks of Financial Institutions, pages 377-416 National Bureau of Economic Research, Inc.
  5. Rochet, Jean-Charles, 2003. "Rebalancing the 3 Pillars of Basel 2," IDEI Working Papers 224, Institut d'Économie Industrielle (IDEI), Toulouse.
  6. Katherine Wyatt, 2004. "CP3's Standardized Approach for Credit Risk and Current Capital Requirements," Journal of Financial Services Research, Springer, vol. 26(2), pages 103-119, October.

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