Basel II Explained

by Robin Pilgrim, LawAndTax-News.com, London

10 August 2004

After many years of development, the new Basel II Accord on banking capital adequacy was endorsed in June by the G10 Central bank governors and the heads of bank supervisory authorities; now Irish publisher www.researchandmarkets.com has produced a guide to Basel's intricacies. The Basel Handbook: A Guide for Financial Practitioners, says the publisher 'assists and advises the financial practitioner of every possible consequence of the latest Basel Accord - including advice on the implementation of systems affected by the Accords various regulations'.

The book features a detailed overview of the revised Accord that highlights its major changes and includes comprehensive insight and guidance that advises on the Basel Accords three component pillars: Minimum Capital Requirement, Supervisory Review Process and Market Discipline. The volume, priced at Euros 128, has the following sections:

• Introduction
  Michael K. Ong
  Illinois Institute of Technology

SECTION 1: PARAMETERISATION OF THE INTERNAL RATINGS-BASED APPROACH

• Development and Validation of Key Estimates for Capital Models
  Michel Araten
  JPMorganChase & Co
• Explaining the Correlation in Basel II: Derivation and Evaluation
  Christian Bluhm; Ludger Overbeck
  HypoVereinsbank; University of Giessen
• Explaining the Credit Risk Elements in Basel II
  Simon Hills
  British Bankers Association
• Loss Given Default and Recovery Risk: From Basel II Standards to Effective Risk Management Tools
  Andrea Resti; Andrea Sironi
  Bergamo University; Luigi Bocconi University

SECTION 2: IMPLEMENTATION AND TESTING OF COMPLIANT IRB SYSTEMS

• Implementation of an IRB Compliant Rating System
  Sebastian Fritz, Michael Luxenburger and Thomas Miehe
  Deutsche Bank Group
• Stress Tests of Banks? Regulatory Capital Adequacy: Application to Tier 1 Capital
  Esa Jokivuolle; Samu Peura
  Bank of Finland; Sampo Plc
• Advanced Credit Model Performance Testing to Meet Basel Requirements
  Donald R. van Deventer; Xiaoming Wang
  Kamakura Corporation; Kamakura Corporation and University of Hawaii
• Point-in-Time Versus Through-the-Cycle Ratings
  Scott D. Aguais; Lawrence R. Forest, Jr; Elaine Y. L. Wong; Diana Diaz-Ledezma
  Barclays Capital
• Basel II in the Light of Moody's KMV Evidence
  Martti Purhonen
  Sampo Plc

SECTION 3: SECURITISATIONS AND RETAIL PORTFOLIOS

• Basel II Capital Adequacy Rules for Securitisations and for Retail Exposures
  Ashish Dev
  KeyCorp
• IRB-Compliant Models in Retail Banking
  Richard Norgate
  KPMG

SECTION 4: REGULATORY EXPECTATIONS AND DISCLOSURE ISSUES

• Regulatory Priorities and Expectations in the Implementation of the IRB Approach
  Ed Duncan
  ISDA
• Market Discipline and Appropriate Disclosure in Basel II
  Lawrence J. White
  Stern School of Business, New York University

SECTION 5: IMPLEMENTING THE ADVANCED MEASUREMENT APPROACH FOR OPERATIONAL RISK

• Implementing a Basel II Scenario-Based AMA for Operational Risk
  Ulrich Anders and Gerrit Jan van den Brink
  Dresdner Bank
• Loss Distribution Approach in Practice
  Antoine Frachot; Olivier Moudoulaud; Thierry Roncalli
  Groupe de Recherche Op?rationnelle; Global Risk Management; Credit Agricole SA
• An Operational Risk Ratings Model Approach to Better Measurement and Management of Operational Risk
  Anthony Peccia
  Bank of Montreal

SECTION 6: LOSS DATABASE AND INSURANCE

• Constructing an Operational Event Database
  Michael Haubenstock
  Capital One
• Insurance and Operational Risk
  John Thirlwell
  Operational Risk Research Forum

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