Basel II provides banks with four options that may be used to calculate regulatory capital for operational risk. Each of these options (except the most basic approach) requires an underlying risk measurement and management system, with increasing complexity and more refined capital calculations under the more advanced approaches. Approaches available are BIA, TSA, ASA and AMA. The most advanced and complex option under Basel II is the AMA. This approach allows a bank to calculate its regulatory and economic capital requirements (using internal models) based on internal risk variables and profiles, rather than exposure proxies like gross income. This is the only risk–sensitive approach allowed by and described in Basel II. Accompanying internal models, complex and sophisticated measurement instruments, risk management processes and frameworks, as well as a robust governance structure need to be implemented. This study focuses on the practical design and implementation of an AMA capital model. This includes a beginning–to–end solution for capital modelling and covers all elements of data analysis, capital calculation and capital allocation. The proposed capital model is completely risk–based, leading to risk–sensitive capital calculations and allocations for all business lines in a bank. The model was constructed to comply fully with all Basel II requirements and standards. The proposed model was subsequently applied to one South African bank’s operational risk data, i.e. risk scenario and internal loss data of the bank were used as inputs into the proposed capital model. Regulatory capital requirements were calculated for all business lines in the bank and for the bank as a whole on a group level. Total capital requirements were also allocated to all business lines in the bank. For regulatory capital purposes, this equated to the stand–alone capital requirement of each business line. Calculations excluded the modelling and incorporation of insurance, expected loss offsets and correlation. These capital mitigation techniques were, however, proposed as part of the comprehensive capital model. AMA based capital calculations for the bank’s business lines resulted in significant capital movements compared to TSA capital requirements for the same calculation periods. The retail banking business line was allocated less capital compared to corresponding TSA estimates. This is mainly attributable to lower levels of tail risk exposure given high income levels (which are the bases for TSA capital calculations). AMA–based capital for the investment banking business line was higher than corresponding TSA estimates, due to high levels of extreme risk exposure relative to income generated. Employing capital modelling results in operational risk management and performance measurement was discussed and proposals made. This included the use of capital requirements (modelling results) in day–to–day operational risk management and in strategic decision making processes and strategic risk management. Proposals were also made on how to use modelling results and capital allocations in performance measurement. It was proposed that operational risk capital costs should be included in risk–adjusted performance measures, which can in turn be linked to remuneration principles and processes. Ultimately this would incentivise sound operational risk management practices and also satisfy the Basel II use test requirements with regards to model outputs, i.e. model outputs are actively used in risk management and performance measurement. / Thesis (Ph.D. (Risk management))--North-West University, Potchefstroom Campus, 2012.

台灣已於2007年初正式實施新巴塞爾資本協定(BASEL II)之相關規範，此協定透過三大支柱，強化銀行整體之風險管理，為了使我國金融體系與制度能與國際接軌，金融監理機關已發布相關管理方法與計算方式，以加強其政策面與實務面之配合，而銀行也針對其風險管理制度，進行模型建構與測試，並透過定性及定量等公開揭露，使資本適足率之計算更具風險敏感性，落實市場監督功能。 本研究利用文獻分析與整理，對新巴塞爾資本協定作一整體性之探討與介紹，並針對信用風險之規範，透過訪談，以國內某國際商業銀行為例，描述其建置信用風險管理組織架構過程及目前實施概況。惟當前多數之國內金融機構尚未具有直接實施內部評等法的條件，客戶亦多為國內中小型企業，造成信用評等取得不易，又因為成本與人力分配之考量，導致其實施內部評等法之誘因不足，因此實施近兩年來，銀行仍多採行信用風險標準法。 本論文針對此現象，將分別由銀行與監理機關兩個面向進行探討並提出相關建議，國內各銀行不論其信用風險之資本計提方式是使用標準法或準備邁向基礎與進階之內部評等法，皆應在其成本效益及經濟規模之考量下，建置能判斷授信客戶風險之內部評等模型與整體信用風險控管架構；而金融監理機關也應正視此趨勢，主動並積極建立相關之信用風險資料庫，或與聯徵中心合作，加強我國中小企業之信用評等模型，並應儘速培訓信用風險相關人才，以具備判別各銀行內部信用評等模型差異性之能力。 / Basel II has changed the game of the financial system, and the regime started on 1st January 2007 in Taiwan. The new regulatory capital framework provides incentives for a stronger risk management and makes regulatory capital much closer to economic capital. Furthermore, it relies more on high quality and accurate data, which requires convergence of risk and financial data, information and reporting. However, since the financial crisis began in mid-2007, the majority of losses and most of the build up of leverage occurred not only in the banking but the trading book. An important factor was that the current capital framework for both credit and market risks, a subject whose importance is gaining momentum among the bank these days. The Basel II Accord requires banks to keep capital for Credit risk for banking book exposures and Market risk for trading book exposures. As a result, the bank may be forced to hold more capital than current rules demand to guard against losses on some kind of complex financial products. Taiwan Financial Supervisory Commission has decided to implement Basel II starting from 2007 and the implementation has resulted in a significant impact in the banking industry in Taiwan. However, two years later, most of the banks in Taiwan are still using the standard method to calculate its Credit Risk. By consulting and investigating the Basel II implementation in some representative local banks in Taiwan, this research find some issues and presents several suggestions of the BASEL II implementation in Taiwan.

Fachhochsch., Diplomarbeit--Merseburg, 2007.

Univ., Diss.--Duisburg-Essen, 2007.

<p>Basel II kommer att få positiva effekter inom banksektorn, bland annat för att bankerna genom mer riskkänsliga metoder att beräkna kreditrisk kan sänka sin kapitalbas utan att samtidigt sänka kapitaltäckningsgraden under den lagstadgade nivån. Det medför att bankerna får större möjligheter att differentiera villkoren för enskilda krediter än tidigare utan att detta påverkas av reglerna för kapitaltäckning. Det innebär i sin tur att konkurrensen inom banksektorn ökar.</p><p>Den nya lagen innebär att kapitalkraven för kreditrisk minskar generellt, men mest för banker som utvecklar egna interna riskhanteringsmetoder (IRK) och banker med hög andel hushållslån (inklusive bostadslån) i sin kreditportfölj.</p><p>I takt med att mer riskkänsliga metoder utvecklas och en ökad riskprövning sker på engagemangsnivå, får bankerna incitament att finna olika lösningar på kundens behov. Resultaten kommer att bli ökad konkurrens, större specialisering och ökad differentiering av krediter.</p><p>Ökad konkurrens innebär att kundens ställning förbättras. Ett mer differentierat utbud av krediter kommer att medföra större valmöjligheter för bankernas kunder. Bankerna blir samtidigt mer selektiva och väljer bort kunder som inte är önskvärda ur risksynpunkt. Kunder med dålig återbetalningsförmåga och sämre säkerheter kommer att få svårare att få krediter eller sämre villkor.</p><p>Även om mindre banker i någon mån missgynnas av att schablonmetoden är mindre riskkänslig än interna riskklassificeringsmetoder (IRK) är det inte en så stor nackdel att det påverkar deras konkurrenssituation. De två sparbanker som studerats har en mycket god soliditet, och en kapitaltäckningsgrad som väl överskrider lagens krav. De nya reglerna kommer att ytterligare höja kapitaltäckningsgraden för kreditrisk – allt annat oförändrat. Genom den årliga interna kapitalutvärdering kan dessutom även små banker utnyttja kvalificerade metoder för att beräkna sin samlade risk, och därigenom vid behov sänka sina kapitalkrav.</p><p>Möjlighet för små banker att utnyttja de interna ratinguppgifter som stora banker förfogar över genom sina interna riskklassificeringsmetoder skulle dock förbättra de små bankernas konkurrenskraft.</p>

O desenvolvimento econômico de um país tem, entre seus pilares, o consumo das famílias como fomento à atividade econômica. Desse modo, a atividade de intermediação financeira, típica da atividade bancária, executa o papel de aproximar o crédito do consumo, portanto contribuindo para o crescimento da economia. Com o tempo, as atividades financeiras tornaram-se complexas e riscos se originam associados a este cenário, entre os quais, o risco operacional. O risco operacional, por definição, resulta da perda em processos internos organizacionais, de falhas de pessoas, de sistemas inadequados ou de fraudes. Assim, para regular o ambiente de riscos e manter a saúde financeira das instituições financeiras, o Acordo de Basileia II, editado em 2004, trouxe parâmetros que definem premissas e modelos para o gerenciamento dos riscos e, em particular, do risco operacional. O Brasil, por sua vez, aderiu ao Basileia II e estabeleceu o primeiro semestre de 2013 para que as exigências de capital, para cobertura de riscos operacionais, passassem a vigorar. Nessa linha, este estudo apresenta uma pesquisa exploratória, aplicada a um caso múltiplo nas Financeiras do Rio Grande do Sul, com a utilização de técnicas estatísticas (descritiva, séries temporais e cálculos de probabilidades), combinadas com equações dos modelos de Basileia, onde identificam-se as estruturas de gerenciamentos de riscos operacionais, as perdas de natureza operacional e os Modelos de Basileia utilizados pelas Financeiras do RS; bem como, os respectivos resultados da combinação das perdas operacionais com os volumes alocados de capital. Por fim, conclui que os Modelos de Basileia utilizados, pelas Financeiras pesquisadas, estão em desacordo com as realidades de perdas operacionais experimentadas, portanto, sugerindo recomendações e melhorias em trabalhos futuros. / Submitted by Marcelo Teixeira (mvteixeira@ucs.br) on 2014-05-06T13:02:12Z No. of bitstreams: 1 Dissertacao Edeni Malta da Silva.pdf: 1717259 bytes, checksum: 03b2871965612692c230202c9cfb5668 (MD5) / Made available in DSpace on 2014-05-06T13:02:12Z (GMT). No. of bitstreams: 1 Dissertacao Edeni Malta da Silva.pdf: 1717259 bytes, checksum: 03b2871965612692c230202c9cfb5668 (MD5) / The economic development of a country has, among its pillars, household consumption as encouraging economic activity. Thus, the financial intermediation activity, typical of banking, performs the role of bringing the credit consumption, thus contributing to the economy growth. Over time, financial activities have become complex and associated risks arise from this scenario, including the operational risk. Operational risk , by definition, results in loss of internal organizational processes, failure of people, inadequate systems or frauds. Thus, to regulate risk environment and maintain the financial health of the financial institutions, the Basel II Accord, published in 2004, brought parameters that define assumptions and models for risk management and, in particular, the operational risk . Brazil joined the Basel II and established the first half of 2013 for the capital requirements to cover operational risk. So, this study presents an exploratory research applied to multiple case, on the Financeiras of the Rio Grande do Sul, with the use of statistical techniques (descriptive, time series and probability calculations) combined with Basel models equations, that identified: the structures of operational risk management, the loss operational and the Basel models used by Financeiras RS, as well as the results of the combination of operating losses with volumes allocated capital. Finally, it concludes that the Basel models used by the financial surveyed, are at odds with the realities of experienced operating losses, thus suggesting improvements and recommendations for future work.

O desenvolvimento econômico de um país tem, entre seus pilares, o consumo das famílias como fomento à atividade econômica. Desse modo, a atividade de intermediação financeira, típica da atividade bancária, executa o papel de aproximar o crédito do consumo, portanto contribuindo para o crescimento da economia. Com o tempo, as atividades financeiras tornaram-se complexas e riscos se originam associados a este cenário, entre os quais, o risco operacional. O risco operacional, por definição, resulta da perda em processos internos organizacionais, de falhas de pessoas, de sistemas inadequados ou de fraudes. Assim, para regular o ambiente de riscos e manter a saúde financeira das instituições financeiras, o Acordo de Basileia II, editado em 2004, trouxe parâmetros que definem premissas e modelos para o gerenciamento dos riscos e, em particular, do risco operacional. O Brasil, por sua vez, aderiu ao Basileia II e estabeleceu o primeiro semestre de 2013 para que as exigências de capital, para cobertura de riscos operacionais, passassem a vigorar. Nessa linha, este estudo apresenta uma pesquisa exploratória, aplicada a um caso múltiplo nas Financeiras do Rio Grande do Sul, com a utilização de técnicas estatísticas (descritiva, séries temporais e cálculos de probabilidades), combinadas com equações dos modelos de Basileia, onde identificam-se as estruturas de gerenciamentos de riscos operacionais, as perdas de natureza operacional e os Modelos de Basileia utilizados pelas Financeiras do RS; bem como, os respectivos resultados da combinação das perdas operacionais com os volumes alocados de capital. Por fim, conclui que os Modelos de Basileia utilizados, pelas Financeiras pesquisadas, estão em desacordo com as realidades de perdas operacionais experimentadas, portanto, sugerindo recomendações e melhorias em trabalhos futuros. / The economic development of a country has, among its pillars, household consumption as encouraging economic activity. Thus, the financial intermediation activity, typical of banking, performs the role of bringing the credit consumption, thus contributing to the economy growth. Over time, financial activities have become complex and associated risks arise from this scenario, including the operational risk. Operational risk , by definition, results in loss of internal organizational processes, failure of people, inadequate systems or frauds. Thus, to regulate risk environment and maintain the financial health of the financial institutions, the Basel II Accord, published in 2004, brought parameters that define assumptions and models for risk management and, in particular, the operational risk . Brazil joined the Basel II and established the first half of 2013 for the capital requirements to cover operational risk. So, this study presents an exploratory research applied to multiple case, on the Financeiras of the Rio Grande do Sul, with the use of statistical techniques (descriptive, time series and probability calculations) combined with Basel models equations, that identified: the structures of operational risk management, the loss operational and the Basel models used by Financeiras RS, as well as the results of the combination of operating losses with volumes allocated capital. Finally, it concludes that the Basel models used by the financial surveyed, are at odds with the realities of experienced operating losses, thus suggesting improvements and recommendations for future work.

A presente tese tem por objetivo desenvolver um estudo comparativo entre Brasil e Argentina no que se refere à implementação do Novo Acordo de Capitais da Basiléia publicado em 2004. Nesse sentido as legislações divulgadas pelos dois países sobre o tema foram analisadas. A metodologia utilizou documentos oficiais que tratam do tema da Basiléia e da integração financeira no âmbito do MERCOSUL. Adicionalmente foi utilizado o software estatístico SPSS para geração de demonstrativos gráficos do índice de Basiléia das instituições financeiras nos dois países. A tese constata que a implementação de Basiléia II foi importante para a discussão regulatória no âmbito do sistema financeiro dos países, mas não foi suficiente por conter a crise em curso. As exigências de adequação de capital encontradas em Basiléia II e na legislação de cada país podem contribuir para aumentar a solidez e estabilidade das instituições financeiras nos dois países, desde que sempre acompanhadas de supervisão constante e intervenção estatal nos momentos de crise. A tese também constata a existência de iniciativas de harmonização regulatória do setor financeiro no âmbito do MERCOSUL e neste sentido a implementação das diretrizes do Novo Acordo poderá interferir positivamente num processo futuro de integração financeira. / The present thesis develops a comparative study between Brazil and Argentina regarding the implementation of the New Basel Capital Accord published in 2004. In this sense, publications aiming this subject were analyzed for both countries. Official documents dealing with Basel as well as financial integration in MERCOSUL were used. In addition, measurements of Basel index for financial institutions of both countries were obtained and compared . Results evidence that, although Basel II implementation was important for financial systems regulation, it was not responsible to restrain ongoing crisis. Capital requirements found in Basel II and legislation of each country can contribute to increase financial institutions´ stability and must be followed by constant supervision and state intervention at moments of crisis. Results also evidence regulatory harmonization initiatives of financial sector in the scope of MERCOSUL, and in this sense the implementation of the New Accord, will be able to intervene positively with a future process of financial integration.

M.Comm. (Financial Management) / The costs of the 2007- 09 financial crises on global economies have resulted in new central bank rules to strengthen financial institutions. The question of whether there were any significant differences in capital structures between banks who were liquid and those who were liquidity constrained in the 2007– 2009 global financial crisis, still needs to be answered. Theoretical models on corporate failure partly explain how bank capital management impacts on whether a bank fails or not. This study investigates the differences in capital ratios between banks who were liquidity- stressed and those who were liquid. A comparative analysis of selected banking capital ratios were done followed by a discriminant analysis to determine if there is a relationship between the capital structures of liquid and liquidity- stressed banks. It was found that there were differences in capital structures of liquid and liquidity- stressed banks but capital ratios on their own, could not be used as early warning sign for bank failure.

Diplomová práce se zabývá vývojem a současným stavem pravidel kapitálové přiměřenosti se zaměřením na Novou basilejskou kapitálovou dohodu z roku 2004 (Basel II). Vysvětluje problematiku kapitálové přiměřenosti a její úpravu v České republice. Věnuje se Basilejské kapitálové dohodě (Basel I), podrobně rozebírá pravidla Basel II, zabývá se jejich porovnáním a implementací nových pravidel v Evropě, Spojených státech amerických a České republice. Další část popisuje kvantitativní studie dopadů, nedostatky a kritické připomínky zavádění nového konceptu včetně nastínění možných dopadů v budoucnosti. Poslední kapitola se zabývá pravidly Solvency II pro pojišťovny a jejich porovnáním s pravidly Basel II.