One objective of the BCBS is to implement minimum supervisory capital standards in the banking sector. Basel I to Basel III attempted to maintain a minimum capital standard for credit risk, market risk and operational risk. Many loopholes were highlighted through years when political and economic disturbances occurred and caused volatility in the financial markets. This study analysed five major South African banks from 2002–2012 to determine the size of these disturbances on the regulatory capital levels. The empirical portion of this study comprised of statistical models to be applied to the quantitative observations of capital levels. These measurements served as the bases of comparison between the five banks. After the investigation it was evident that the capital levels of these five banks first decreased as the South African economy prevailed in a boom phase and banks were at ease. When the 2007–2009 financial crisis struck, the capital levels increased again in respect of the three risks. Global volatility surfaced as economic and political factors were introduced into the markets / MCom (Risk Management), North-West University, Vaal Triangle Campus, 2014

One objective of the BCBS is to implement minimum supervisory capital standards in the banking sector. Basel I to Basel III attempted to maintain a minimum capital standard for credit risk, market risk and operational risk. Many loopholes were highlighted through years when political and economic disturbances occurred and caused volatility in the financial markets. This study analysed five major South African banks from 2002–2012 to determine the size of these disturbances on the regulatory capital levels. The empirical portion of this study comprised of statistical models to be applied to the quantitative observations of capital levels. These measurements served as the bases of comparison between the five banks. After the investigation it was evident that the capital levels of these five banks first decreased as the South African economy prevailed in a boom phase and banks were at ease. When the 2007–2009 financial crisis struck, the capital levels increased again in respect of the three risks. Global volatility surfaced as economic and political factors were introduced into the markets / MCom (Risk Management), North-West University, Vaal Triangle Campus, 2014

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Com o crescimento da importância do setor financeiro no mundo globalizado, instituiram-se os Acordos de Basiléia para a regulamentação do Sistema Financeiro Internacional. Tais acordos apresentam uma série de alterações no sistema financeiro nacional e têm prazo para sua implantação. O presente estudo visa verificar a nova metodologia de cálculo do Patrimônio de Referência (PR) nos bancos brasileiros, bem como os possíveis impactos que as exigências do acordo, considerando as alterações trazidas pelo Acordo de Basiléia III, podem ocasionar para os bancos. Para tal, realizou-se uma pesquisa quantitativa com dados de 45 instituições financeiras brasileiras e estimou-se o impacto da implementação da nova metodologia de cálculo comparando-se a situação atual reportada pelos bancos. O resultado obtido é que a implementação das mudanças geraria impacto positivo para a robustez do sistema financeiro nacional. / With the growing importance of the financial sector in a globalized world, the Basel Accords were instituted to regulatethe International Financial System.Those accords feature a series of changes on the national financial system and have deadlines for implementation. This study aims to verify the new methodology of Equity Requirement calculation on Brazilian banks, as well as the possible impacts of the accord’s requirements, considering the changes introduced by Basel Accord III.For such, a quantitative research was performed with data from 45 Brazilian financial institutions, and the impact of the implementation of the new methodology in comparison with the current methodology was estimated. The result is that the implementation of the changes would cause a positive impact on the solidity of the national financial system.

Com o crescimento da importância do setor financeiro no mundo globalizado, instituiram-se os Acordos de Basiléia para a regulamentação do Sistema Financeiro Internacional. Tais acordos apresentam uma série de alterações no sistema financeiro nacional e têm prazo para sua implantação. O presente estudo visa verificar a nova metodologia de cálculo do Patrimônio de Referência (PR) nos bancos brasileiros, bem como os possíveis impactos que as exigências do acordo, considerando as alterações trazidas pelo Acordo de Basiléia III, podem ocasionar para os bancos. Para tal, realizou-se uma pesquisa quantitativa com dados de 45 instituições financeiras brasileiras e estimou-se o impacto da implementação da nova metodologia de cálculo comparando-se a situação atual reportada pelos bancos. O resultado obtido é que a implementação das mudanças geraria impacto positivo para a robustez do sistema financeiro nacional. / With the growing importance of the financial sector in a globalized world, the Basel Accords were instituted to regulatethe International Financial System.Those accords feature a series of changes on the national financial system and have deadlines for implementation. This study aims to verify the new methodology of Equity Requirement calculation on Brazilian banks, as well as the possible impacts of the accord’s requirements, considering the changes introduced by Basel Accord III.For such, a quantitative research was performed with data from 45 Brazilian financial institutions, and the impact of the implementation of the new methodology in comparison with the current methodology was estimated. The result is that the implementation of the changes would cause a positive impact on the solidity of the national financial system.

Com o crescimento da importância do setor financeiro no mundo globalizado, instituiram-se os Acordos de Basiléia para a regulamentação do Sistema Financeiro Internacional. Tais acordos apresentam uma série de alterações no sistema financeiro nacional e têm prazo para sua implantação. O presente estudo visa verificar a nova metodologia de cálculo do Patrimônio de Referência (PR) nos bancos brasileiros, bem como os possíveis impactos que as exigências do acordo, considerando as alterações trazidas pelo Acordo de Basiléia III, podem ocasionar para os bancos. Para tal, realizou-se uma pesquisa quantitativa com dados de 45 instituições financeiras brasileiras e estimou-se o impacto da implementação da nova metodologia de cálculo comparando-se a situação atual reportada pelos bancos. O resultado obtido é que a implementação das mudanças geraria impacto positivo para a robustez do sistema financeiro nacional. / With the growing importance of the financial sector in a globalized world, the Basel Accords were instituted to regulatethe International Financial System.Those accords feature a series of changes on the national financial system and have deadlines for implementation. This study aims to verify the new methodology of Equity Requirement calculation on Brazilian banks, as well as the possible impacts of the accord’s requirements, considering the changes introduced by Basel Accord III.For such, a quantitative research was performed with data from 45 Brazilian financial institutions, and the impact of the implementation of the new methodology in comparison with the current methodology was estimated. The result is that the implementation of the changes would cause a positive impact on the solidity of the national financial system.

>Magister Scientiae - MSc / Commercial banks play a dominant role in facilitating the economic growth of a country by acting as an intermediary between the de cit spending unit (borrowers) and the surplus spending unit (lenders). In particular, they transform short-term deposits into medium and long-term loans. Due to their important role in the economy and the nancial system as a whole, commercial banks are subject to high regulation standards in most countries. According to an international set of capital standards known as the Basel Accords, banks are required to hold a minimum level of capital as a bu er to protect their depositors and the nancial market in an event of severe unexpected losses caused by nancial risk. Moreover, government regulators aim to maintain public con dence and trust in the banking system through the use of a deposit insurance scheme (DIS). Deposit insurance (DI) has the e ect of eliminating mass withdrawals of deposits in an event of a bank failure. However, DI comes at a cost. The insuring agent is tasked with estimating a fairly priced premium that the bank should be charged for DI.

Före Sverige hade hårda regleringskrav såsom Baselöverenskommelsen var det tydligt att banker tog stora risker som inte var det bästa för samhället. När finansiella kriser inträffats har staten behövt gå in med pengar för att ge räddningspaket till bankerna. Detta betyder att vanliga skattebetalares pengar har gått till banker för att de inte har hållit tillräckligt med kapital vid finansiella kriser. Basel I är det första försöket av Baselkommittén som försökte skapa hårdare reglering. Denna har utvecklats till först Basel II som tar upp fler perspektiv, och sedan Basel III som införde ännu hårdare regleringar.    Grunden till att varför banker måste ha hårda regleringar är för att de är nödvändiga i samhället. Utan banker kan vi inte snabbt och säkert betala vår hyra eller köpa mat. Banker tar bevisligen stora risker om det inte finns tydliga regleringar, vilket kan skapa stora finansiella kriser såsom 1991 samt 2008.    Implementeringsprocessen av Baselöverenskommelsen är resurs- och tidskrävande för banker. Detta skapar ett problem då det inte finns stor kompetens inom området och mindre banker måste köpa in denna kompetens. Större banker måste även spendera lång tid för att hitta rätt modeller inom rätt tidsram för att kunna implementera Baselöverenskommelsen.   Något som är en viktig innebörd för Baselöverenskommelsen är att riskhanteringen sköts på rätt sätt. Går en större bank i konkurs på grund av att de tar för stora risker innebär det stora samhälleliga konsekvenser. Detta betyder att Baselöverenskommelsen kräver att banker har transparens och jobbar med fler utfall av sina risker för att det säkrare ska kunna hantera en potentiell finansiell kris.   I denna studie framkommer det att Baselöverenskommelsen påverkar svenska bankers riskhantering genom att göra investeringar dyrare. Det framkommer även att det finns befogad kritik mot EU att småbanker omfattas av Baselöverenskommelsen. / Before Sweden had high regulatory requirements like the Basel Accords it was clear that banks took hefty risks that was not the best for the society. When financial crises have occurred the government or central banks have had to bailout the banks. This means that the average person's tax money has gone to the banks because they did not have enough capital during financial crisis. Basel I was the first attempt that the Basel committee created in order to have higher regulations. It has then later evolved into Basel II that brings in more perspective, and later Basel III that created even higher regulatory requirements.    The basis of why banks needs more regulations is because they are necessary for the society. We cannot pay our rent or buy food in a fast and secure way without banks. Banks evidently take big risks if there are not any clear regulations, which can create major financial crisis like 1991 or 2008.   The implementation process of the Basel Accords are resource and time consuming for banks. This creates a problem when there is no great competence within the area and small banks must buy that competence. Large banks must spend a great amount of time to find the right models within the right time frame in order to implement the Basel Accords.    Something that is of great meaning for the Basel Accords is that their risk management is being conducted in the right manner. If a large bank fails because they take large risks, it will result in great social consequences. This means that the Basel Accords demands that banks have transparency and works with more outcomes of their risks in order to safer manage a potential financial crisis.    In this study it is revealed that the Basel Accords affects Swedish banks risk management by making investments more expensive. It is also revealed that there is legitimate criticism against EU for making lesser banks affected by the Basel Accords.

This thesis consists of four independent chapters on bank capital regulation and the issue of unsolicited ratings.<p> The first chapter is introductory and reviews the motivation for regulating banks and credit rating agencies while providing a detailed overview of the thesis.<p> The second chapter uses a simultaneous equations model to analyze how banks from six G10 countries adjusted their capital to assets ratios and risk-weighted assets to assets ratio between 1988 and 1995, i.e., just after passage of the 1988 Basel Accord. The results suggest that regulatory pressure brought about by the 1988 capital standards had little effect on both ratios for weakly capitalized banks, except in the US. In addition, the relation between the capital to assets ratios and the risk-weighted assets to assets ratio appears to depend not only on the level of capitalization of banks, but also on the countries or groups of countries considered.<p> The third chapter provides Monte Carlo estimates of the amount of regulatory capital that EMU banks must hold for their corporate, bank, and sovereign exposures both under Basel I and the standardized approach to credit risk in Basel II. In the latter case, Monte Carlo estimates are presented for different combinations of external credit assessment institutions (ECAIs) that banks may choose to risk weight their exposures. Three main results emerge from the analysis. First, although the use of different ECAIs leads to significant differences in minimum capital requirements, these differences never exceed, on average, 10% of EMU banks’ capital requirements for corporate, bank, and sovereign exposures. Second, the standardized approach to credit risk provides a small regulatory capital incentive for banks to use several ECAIs to risk weight their exposures. Third, the minimum capital requirements for the corporate, bank, and sovereign exposures of EMU banks will be higher in Basel II than in Basel I. I also show that the incentive for banks to engage in regulatory arbitrage in the standardized approach to credit risk is limited.<p> The fourth and final chapter analyses the effect of soliciting a rating on the rating outcome of banks. Using a sample of Asian banks rated by Fitch Ratings, I find evidence that unsolicited ratings tend to be lower than solicited ones, after accounting for differences in observed bank characteristics. This downward bias does not seem to be explained by the fact that better-quality banks self-select into the solicited group. Rather, unsolicited ratings appear to be lower because they are based on public information. As a result, they tend to be more conservative than solicited ratings, which incorporate both public and non-public information.

Purpose:The purpose is to investigate the adequacy of the Basel Accords to fulfill the underlying ideas of reducing risk and stabilizing the financial sector, or if it allows banks to use regulatory arbitrage to maintain a desired productive efficiency- and risk level. Methodology:A two-step analysis is constructed where each bank’s efficiency is first estimated, followed by a panel data regression on the efficiency-score and on a proxy for bank risk.  Conclusion:We found evidence supporting that the third Basel Accord have been more effective, by a reduced risk as a consequence of both an increased capital adequacy ratio and the implementation. However, we cannot confirm that the capital requirements inhibit bank efficiency, but there is evidence of an impaired efficiency since the implementation of the third accord, suggesting that the supervision, for instance, has a weakening effect on efficiency. Moreover, there are also implication of the strengthened capital requirements, in terms of quantity and quality of capital, more efficiently fulfilling the accords purpose of reducing risk.