The Impact of Bank Ownership on Capital Adequacy, Liquidity, and Capital Stability: Basel II vs. Basel III

2011 ◽  
Author(s):  
Pichaphop Chalermchatvichien ◽  
Seksak Jumreornvong ◽  
Pornsit Jiraporn
Keyword(s):  
Basel Ii ◽  
Capital Adequacy ◽  
Basel Iii ◽  
Bank Ownership ◽  
The Impact

scholarly journals Understanding operational risk capital approximations: First and second orders

2013 ◽  
Vol 2 (3) ◽  
pp. 58-78 ◽  
Author(s):  
Gareth Peters ◽  
Rodrigo Targino ◽  
Pavel Shevchenko
Keyword(s):  
Operational Risk ◽  
Basel Ii ◽  
Second Order ◽  
Capital Adequacy ◽  
Model Parameters ◽  
Basel Iii ◽  
Clear Understanding ◽  
Loss Process ◽  
Heavy Tailed ◽  
The Impact

We set the context for capital approximation within the framework of the Basel II / III regulatory capital accords. This is particularly topical as the Basel III accord is shortly due to take effect. In this regard, we provide a summary of the role of capital adequacy in the new accord, highlighting along the way the significant loss events that have been attributed to the Operational Risk class that was introduced in the Basel II and III accords. Then we provide a semi-tutorial discussion on the modelling aspects of capital estimation under a Loss Distributional Approach (LDA). Our emphasis is to focuss on the important loss processes with regard to those that contribute most to capital, the so called “high consequence, low frequency" loss processes. This leads us to provide a tutorial overview of heavy tailed loss process modelling in OpRisk under Basel III, with discussion on the implications of such tail assumptions for the severity model in an LDA structure. This provides practitioners with a clear understanding of the features that they may wish to consider when developing OpRisk severity models in practice. From this discussion on heavy tailed severity models, we then develop an understanding of the impact such models have on the right tail asymptotics of the compound loss process and we provide detailed presentation of what are known as first and second order tail approximations for the resulting heavy tailed loss process. From this we develop a tutorial on three key families of risk measures and their equivalent second order asymptotic approximations: Value-at-Risk (Basel III industry standard); Expected Shortfall (ES) and the Spectral Risk Measure. These then form the capital approximations. We then provide a few example case studies to illustrate the accuracy of these asymptotic captial approximations, the rate of the convergence of the assymptotic result as a function of the LDA frequency and severity model parameters, the sensitivity of the capital approximation to the model parameters and the sensitivity to model miss-specification.

The Value-at-Risk Methodology of Basel II and Basel III

2014 ◽  
pp. 100-114 ◽  
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Value At Risk ◽  
Basel Ii ◽  
Risk Measurement ◽  
Capital Adequacy ◽  
Basel Iii ◽  
Regulatory Capital ◽  
Advantages And Disadvantages ◽  
Risk Methodology

This chapter examines the advantages and disadvantages of the risk estimate approach—Value-at-Risk (VaR) which has been extensively embraced by regulators and practitioners in financial markets under the Basel II & III framework as the basis of risk measurement, both for the purpose of ensuring regulatory capital adequacy, and risk management and strategic planning at industry level.

Basic Requirements Of The Basel Committee On Regulating Capital Adequacy And Liquidity Of Commercial Banks

2012 ◽  
Vol 4 ◽  
Author(s):  
Bahriddin Berdiyarov
Keyword(s):  
Risk Assessment ◽  
Commercial Banks ◽  
Basel Ii ◽  
Capital Adequacy ◽  
Basel Iii ◽  
Basel Committee ◽  
Performance Quality ◽  
Regulatory Standards ◽  
Loan Risk ◽  
Credit Risk Measurement

The current paper highlights theBaselI, Basel II & Basel III requirements on capital adequacy and liquidity of commercial banks.  In the paper, Basel II structure, methods of loan risk assessment, coefficients of loan risk assessment, credit risk measurement for counterparty banks are discussed.  Moreover, assessments of Basel III on bank chances against crisis driven from financial and economic crunches, risk management, performance quality and bank transparency improvement measures are presented.  At the end, the author gives his conclusions on the essence and necessity of new regulatory standards of the Basel Committee on bank’s supervision in the structure of the supervision of credit institutions.

8. Micro-prudential regulation I

2019 ◽  
pp. 329-406
Author(s):  
Iris H-Y Chiu ◽  
Joanna Wilson
Keyword(s):  
Financial Crisis ◽  
Risk Taking ◽  
Global Financial Crisis ◽  
Basel Ii ◽  
Capital Adequacy ◽  
Basel Iii ◽  
Prudential Regulation ◽  
Basel Committee ◽  
The Global Financial Crisis ◽  
Capital Adequacy Regulation

This chapter studies capital adequacy regulation, which prescribes that banks can only take certain levels of risk that are supported by adequate levels of capital. In this way, capital adequacy rules provide a form of assurance that banks with adequate levels of capital are likely able to withstand losses that may result from their risk-taking. The Basel Committee developed its first set of capital adequacy standards in the Basel I Capital Accord of 1988. It was subsequently overhauled into the Basel II Capital Accord in 2003. After the global financial crisis of 2007–9, the Basel II Accord’s shortcomings were extensively discussed and the Basel Committee introduced a package of reforms in order to plug the gaps in Basel II. The Basel III package is the most extensive suite of micro-prudential regulation reforms seen to date, as they deal with capital adequacy and a range of other micro-prudential standards.

The impact of bank ownership concentration on impaired loans and capital adequacy

2010 ◽  
Vol 34 (2) ◽  
pp. 399-408 ◽  
Author(s):  
Choudhry Tanveer Shehzad ◽  
Jakob de Haan ◽  
Bert Scholtens
Keyword(s):  
Capital Adequacy ◽  
Ownership Concentration ◽  
Bank Ownership ◽  
The Impact

scholarly journals Impact of BASEL III on India

2017 ◽  
Vol 4 (1) ◽  
pp. 23-28
Author(s):  
Aastha Jain
Keyword(s):  
Financial System ◽  
Basel Ii ◽  
Basel Iii ◽  
Banking Supervision ◽  
Dynamic Changes ◽  
Long Run ◽  
The World ◽  
Short Run ◽  
Indian Banks ◽  
The Impact

The Basel Committee on Banking Supervision (BCBS) set the first of capital accords in 1988, called the Basel I. Due to the dynamic changes in the world of financial system Basel I gave way to Basel II. Basel II plagued with the problem of pro-cyclicality paved the way for Basel III. India adopted Basel III norms in 2012. The present paper studies the impact of Basel III on India. In the short run, it will lead to a reduction in profitability of banks, curtailed credit to the economy and it is accused of being a needless burden on the Indian banks. But in the longer run, it will keep India integrated with the rest of the world. It will make the Indian financial system stronger, more stable and sound. It boils down to a trade-off between short-term costs and long run growth benefits.

scholarly journals Understanding Implementation of Basel II and III in Albania: Obstacles and Solutions

2016 ◽  
Vol 6 (1) ◽  
pp. 30
Author(s):  
Sokol Ndoka ◽  
Altin Zefi ◽  
Ermela Kripa
Keyword(s):  
Banking Sector ◽  
Basel Ii ◽  
Basel Iii ◽  
Real Economy ◽  
Credit Risks ◽  
The Status ◽  
Capital Ratios ◽  
Stable Growth ◽  
The Stability ◽  
The Impact

Banking Sector in Albania is suffering from high NPL levels, compared with historic levels of NPL in Albania, or with regional nations who have comparable economics. The 2008 crises in USA taught us the impact that the real economy can have from a crisis in Banking Sector. Thus the implementation of Basel III framework and its Capital Requirement ratios becomes crucially important for the stability of the Financial sector and stable growth of the economy. This paper firstly examines the state of Basel II implementation in Albania by the banking sector. The banking sector is primarily invested in government bonds and treasuries and lending to businesses and individuals but the high levels of NPL from both bankrupted businesses and individual poses a credit risks and wider market risks. Albanian Government has committed to speed up implementation of Basel II and Basel III on capital ratios. But questions remain: What’s the status of the implementation? Can the economy absorb the costs of implementing or not implementing Basel III? Secondly we research the additional costs associated with implementation of the banking sector. Because of the expansionary policy of the Bank of Albania the lending rates have fallen but not as fast as expected. Credit growth has been mostly stagnant posing a risk to the growth of the economy. For this study we use time series on Financial Institutions in Albania from the Bank of Albania on capital ratios as well as the policies and requirements set. We find that Basel II criteria have not been met and more can be done to prepare the implementation of Basel III.

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