Purpose: The purpose of this study is to increase the understanding of how a bank’s features and internal factors have affected its choice of method in calculating the capital requirement. Theoretical and Empirical Method: The research strategy of this study has been of a qualitative nature with a deductive approach. The choice of method was depth interviews with respondents from a targeted sample of Swedish banks. These respondents were chosen based on the knowledge they possess as key employees in the capital requirement process and their involvement in choosing their banks’ method for calculating the capital requirement. The interviews were semi-structured, with open questions that allowed a dialogue with the respondents in which they could express their opinions and knowledge regarding the factors affecting their banks’ choice of method. Theoretical Approach: The study is based on the new institutional economics theory of how institutions affect organizational behavior. It’s also based on earlier research within the regulation Basel II by, among others, Hakenes and Schabel (2011), Rime (2005) and Wahlström (2009). Conclusions: The results of this study show that banks have identified different factors that affect their choice of calculation method for the capital requirement. The choice the banks are facing is to keep the standardized method, develop an advanced internal based method, create partnerships with other banks or focus on alternative clientele portfolios. The two factors that were considered to be have the greatest significant for the choice of calculation method were resources associated with the implementation of the IRB approach models and how the banks’ clientele portfolio was designed. How these were distributed and to what extent they influenced the choice was highly individual for the chosen banks. / Syfte: Syftet med den här studien är att öka förståelsen om hur en banks förutsättningar och interna faktorer har påverkat dess val av beräkningsmetod för kapitalkravet. Teoretisk och empirisk metod: Forskningsstrategin för studien har varit av den kvalitativa typen med en deduktiv ansats. Valet av metod var djupintervjuer med respondenter från ett målinriktat urval av svenska banker. Respondenterna valdes utifrån de kunskaper som de besitter genom sin position på respektive bank, där deras deltagande i metodvalsprocessen påverkade valet av beräkningsmetod. Intervjuerna var av typen semistrukturerade, med öppna intervjufrågor för att få till en dialog med respondenterna och ta del av deras åsikter och kunskaper gällande de olika faktorerna till metodvalet. Teoretisk referensram: Studien utgick från den nyinstitutionella teorin, om hur institutioner påverkar organisationers beteenden. Den har baserats på tidigare forskning inom regelverket Basel II av bland annat Hakenes och Schnabel (2011), Rime (2005) samt Wahlström (2009). Slutsats: Resultatet av denna studie visar på att bankerna har identifierat olika faktorer som påverkar valet av beräkningsmetod för kapitalkravet. Valet som bankerna står inför är att behålla Schablonmetoden, utveckla en IRK-metod, skapa samarbeten med andra banker eller fokusera på alternativa klientelportföljer. De två faktorer som ansågs ha störst signifikans för valet av beräkningsmetod var resurserna som förknippades med implementeringen av modellerna i IRKmetoden och hur bankens klientelportfölj var utformad. Hur dessa var fördelade och i vilken grad de påverkade valet var högst individuellt för de utvalda bankerna.

The global financial crisis that commenced in June 2007 has been described as the most serious financial crisis since the Great Depression of the 1930s. It resulted in considerable international distress with almost all major banks experiencing capital shortages and some defaulting outright. Among the principal causes was an explosive increase - by a factor of ten in some cases - in credit defaults precipitated by lax lending standards which prevailed for several years. The crisis caused several major institutions to fail (and be subsequently acquired under duress): many of these were subject to takeovers by their relevant sovereigns, including - amongst others - Lehman Brothers, Merrill Lynch, Fannie Mae, Freddie Mac and American International Group and AIG. The financial crisis is believed to be directly responsible for the bleak forecasts (2009 and beyond) faced by the global economy. The measure of global volatility, the VIX, trebled in the third quarter of 2008, interest rate spreads between government fixed income securities and interbank rates widened to unprecedented levels, global inflation threatened an already fragile, volatile marketplace, corporate and retail loan default rates rose and downgrades of large financial institutions (such as US Monoline bond insurers)and manycorporates were experienced by major rating agencies during the first quarter of 2009. The aim of this thesis was to discuss and critically evaluate how the financial crisis has impacted banking risks and also the effect it had on international banks. This has been accomplished through the modification of existing risk measurement techniques and, in some cases, through the development of new techniques, when older risk models proved to be inadequate. A principal secondary aim of the thesis was the testing of these methodologies - in real-world contexts - to ascertain their reliability and robustness concomitant with the adaptation of these methodologies in the light of the new empirical evidence. Important other secondary objectives were the development of novel approaches w0here the research results required it and and the introduction of practical ways to use the results of the thesis in a post-crisis bank risk management environment. Some of the bank asset portfolios that were investigated in the thesis were generated bysimulated data to replicate specific characteristics during the crisis, while the other portfolios comprised entirelyof empirical data. The first objective, of the thesis, was to determine the effect of stressed economic conditions on b.erational risk loss distributions. The depth and duration of the credit crisis have highlighted a number of problems in modern finance. Banks have been accused of excessive risk taking, rating agencies of severe conflicts of interest, central banks of neglecting the inflation of asset price bubbles and national supervisors of laxregulatorycontrols. Credit and market losses have been considerable. Operational losses have also surged as surviving corporates merge or acquire less fortunate ones without the requisite controls. As more jobs get made redundant it is believed that employees revert to internal fraud as their sources of income have dried up drasticallyand stealing from the institution seems to b.tional losses have been affected has been presented and a comparison has been made between operational loss characteristics pre and during the crisis. Some of the main findings were that operational losses have shown little change in frequency, but shown a significant increase in severity, meaning that their financial impact has been more severe during the crisis. It is safe to saythat the financial crisis most definitelyin.creased operational risk in banks much more severe losses. The second objective was to focus on the effect of the stressed economic conditions on the applicability and effectiveness of the credit risk measurement methodologies and the minimum capital requirements, pre.scribed to banks in Basel II. The robustness of the Basel II accord in protecting banks during volatile eco.nomic periods has been challenged in the ongoing financial crisis. Advanced approaches to measuring and managing credit risk in particular have drawn criticism for being too complexand irrelevant. Despite accusa.tions that the accord was largelyresponsible for the crisis, this studyexplored which of Basel II's credit risk approaches were more successful in measuring the bank?s credit risk and calculating the required minimum capital charge for the bank. It was found that, in general, compliance with Basel II actuallyprotected banks during the crisis with the simpler approaches enjoying greater success than more advanced ones, in protect.ing banks against credit risk. The third objective was to appraise the effect of stressed economic conditions on the systemic risk within the South African Banking sector. The financial crisis resulted in increases in credit-, market-and opera.tional risk, but it mayalso have precipitated a surge in systemic risk. Measuring systemic risk as the price of insurance against distressed losses in the South African banking sector, this studyillustrated that the finan.cial crisis has in fact resulted in an increase in systemic risk. Using probabilities of default and asset return correlations as systemic risk indicators, it was established that the financial crisis has indeed increased sys.temic risk in South Africa. The impact was, however, less severe than that experienced in other large interna.tional banks. The fourth and final objective of this studywas to focus on liquiditycreation in South African banks under stressed economic conditions. The financial crisis placed severe pressure on global bank liquidity. Many banks were unable to create sufficient liquidityand had to receive government support or face default. This studyillustrated the impact of the financial crisis on liquiditycreation within South African banks using a model previouslyapplied to US banks. Four measures of liquiditycreation are discussed and applied to data spanning 2004 ? 2009. Although created liquiditydecreased steeplyfrom 2007, liquidity levels in 2009re.main about 45% higher than those of 2004. The four large South African banks created about 80% of the total market liquidity, and a possible reason for this is that these banks have verylarge retail divisions, which have assisted them in creating much more liquiditythan the smaller banks which have much smaller retail divisions. In conclusion, and as illustrated through the findings of this study, the financial crisis did impact the major banking risks on various levels and it is therefore safe to saythat the financial crisis has reformed the interna.tional risk management environment and will also do so in the years to come. / Thesis (Ph.D. (Economics))--North-West University, Potchefstroom Campus, 2011.

The global financial crisis that commenced in June 2007 has been described as the most serious financial crisis since the Great Depression of the 1930s. It resulted in considerable international distress with almost all major banks experiencing capital shortages and some defaulting outright. Among the principal causes was an explosive increase - by a factor of ten in some cases - in credit defaults precipitated by lax lending standards which prevailed for several years. The crisis caused several major institutions to fail (and be subsequently acquired under duress): many of these were subject to takeovers by their relevant sovereigns, including - amongst others - Lehman Brothers, Merrill Lynch, Fannie Mae, Freddie Mac and American International Group and AIG. The financial crisis is believed to be directly responsible for the bleak forecasts (2009 and beyond) faced by the global economy. The measure of global volatility, the VIX, trebled in the third quarter of 2008, interest rate spreads between government fixed income securities and interbank rates widened to unprecedented levels, global inflation threatened an already fragile, volatile marketplace, corporate and retail loan default rates rose and downgrades of large financial institutions (such as US Monoline bond insurers)and manycorporates were experienced by major rating agencies during the first quarter of 2009. The aim of this thesis was to discuss and critically evaluate how the financial crisis has impacted banking risks and also the effect it had on international banks. This has been accomplished through the modification of existing risk measurement techniques and, in some cases, through the development of new techniques, when older risk models proved to be inadequate. A principal secondary aim of the thesis was the testing of these methodologies - in real-world contexts - to ascertain their reliability and robustness concomitant with the adaptation of these methodologies in the light of the new empirical evidence. Important other secondary objectives were the development of novel approaches w0here the research results required it and and the introduction of practical ways to use the results of the thesis in a post-crisis bank risk management environment. Some of the bank asset portfolios that were investigated in the thesis were generated bysimulated data to replicate specific characteristics during the crisis, while the other portfolios comprised entirelyof empirical data. The first objective, of the thesis, was to determine the effect of stressed economic conditions on b.erational risk loss distributions. The depth and duration of the credit crisis have highlighted a number of problems in modern finance. Banks have been accused of excessive risk taking, rating agencies of severe conflicts of interest, central banks of neglecting the inflation of asset price bubbles and national supervisors of laxregulatorycontrols. Credit and market losses have been considerable. Operational losses have also surged as surviving corporates merge or acquire less fortunate ones without the requisite controls. As more jobs get made redundant it is believed that employees revert to internal fraud as their sources of income have dried up drasticallyand stealing from the institution seems to b.tional losses have been affected has been presented and a comparison has been made between operational loss characteristics pre and during the crisis. Some of the main findings were that operational losses have shown little change in frequency, but shown a significant increase in severity, meaning that their financial impact has been more severe during the crisis. It is safe to saythat the financial crisis most definitelyin.creased operational risk in banks much more severe losses. The second objective was to focus on the effect of the stressed economic conditions on the applicability and effectiveness of the credit risk measurement methodologies and the minimum capital requirements, pre.scribed to banks in Basel II. The robustness of the Basel II accord in protecting banks during volatile eco.nomic periods has been challenged in the ongoing financial crisis. Advanced approaches to measuring and managing credit risk in particular have drawn criticism for being too complexand irrelevant. Despite accusa.tions that the accord was largelyresponsible for the crisis, this studyexplored which of Basel II's credit risk approaches were more successful in measuring the bank?s credit risk and calculating the required minimum capital charge for the bank. It was found that, in general, compliance with Basel II actuallyprotected banks during the crisis with the simpler approaches enjoying greater success than more advanced ones, in protect.ing banks against credit risk. The third objective was to appraise the effect of stressed economic conditions on the systemic risk within the South African Banking sector. The financial crisis resulted in increases in credit-, market-and opera.tional risk, but it mayalso have precipitated a surge in systemic risk. Measuring systemic risk as the price of insurance against distressed losses in the South African banking sector, this studyillustrated that the finan.cial crisis has in fact resulted in an increase in systemic risk. Using probabilities of default and asset return correlations as systemic risk indicators, it was established that the financial crisis has indeed increased sys.temic risk in South Africa. The impact was, however, less severe than that experienced in other large interna.tional banks. The fourth and final objective of this studywas to focus on liquiditycreation in South African banks under stressed economic conditions. The financial crisis placed severe pressure on global bank liquidity. Many banks were unable to create sufficient liquidityand had to receive government support or face default. This studyillustrated the impact of the financial crisis on liquiditycreation within South African banks using a model previouslyapplied to US banks. Four measures of liquiditycreation are discussed and applied to data spanning 2004 ? 2009. Although created liquiditydecreased steeplyfrom 2007, liquidity levels in 2009re.main about 45% higher than those of 2004. The four large South African banks created about 80% of the total market liquidity, and a possible reason for this is that these banks have verylarge retail divisions, which have assisted them in creating much more liquiditythan the smaller banks which have much smaller retail divisions. In conclusion, and as illustrated through the findings of this study, the financial crisis did impact the major banking risks on various levels and it is therefore safe to saythat the financial crisis has reformed the interna.tional risk management environment and will also do so in the years to come. / Thesis (Ph.D. (Economics))--North-West University, Potchefstroom Campus, 2011.

新版巴賽爾資本協定的內部評等法中，銀行可自行對借貸戶進行評分，並且根據 評分估算信用風險以提領準備金，因此估算借貸戶評分分數的違約機率(PD)是相當 重要的一環。過去估算違約機率的研究中，大多假定評分分數為離散型式，本文針對 評分分數為連續形式時，提出一種利用曲線函數來配適估計模型。估計模型是使用伽 瑪的截尾分配去配適ROC曲線函數，再利用此ROC曲線函數來估計各評分分數下的 違約機率P(D|S)，在伽瑪分配中的兩參數則是用兩階段的方法求解。本文所提的估 計方法並無假設評分分數的分配，因此在數值方法中使用不同的分配、參數設定、違 約機率等，來驗證此方法的準確度與穩定度，並且與Van der Burgt (2008)、Tasche(2009)的估計方法比較。 / By the internal rating-based approach of Basel II, banks estimate borrowers' default risks to withdraw reserves independently. Hence, estimating default probability (PD) of borrowers is important. Most of previous studies estimating PD assume that evaluation scores are discrete, In this study, we use curve function to t estimation model in the condition that the evaluation scores are continuous . We use truncated gamma distribution to t ROC curve function. And we use the ROC curve function to estimate PD of dierent scores. And use two-step method to nd the value of two parameters in gamma distribution. The estimation method in this study doesn't assume the distribution of estimation scores,so we use dierent distributions, parameters, and default probabilities to test the accuracy and stability of this method. In the end, we also compare our methods with Van der Burgt (2008) and Tasche (2009)' methods.

>Magister Scientiae - MSc / Bank asset management mainly involves profit maximization through invest- ment in loans giving high returns on loans, investment in securities for reducing risk and providing liquidity needs. In particular, commercial banks grant loans to creditors who pay high interest rates and are not likely to default on their loans. Furthermore, the banks purchase securities with high returns and low risk. In addition, the banks attempt to lower risk by diversifying their asset portfolio. The main categories of assets held by banks are loans, treasuries (bonds issued by the national treasury), reserves and intangible assets. In this mini-thesis, we solve an optimal asset allocation problem in banking under the mean-variance frame work. The dynamics of the different assets are modelled as geometric Brownian motions, and our optimization problem is of the mean- variance type. We assume the Basel II regulations on banking supervision. In this contribution, the bank funds are invested into loans and treasuries with the main objective being to obtain an optimal return on the bank asset port- folio given a certain risk level. There are two main approaches to portfolio optimization, which are the so called martingale method and Hamilton Jacobi Bellman method. We shall follow the latter. As is common in portfolio op- timization problems, we obtain an explicit solution for the value function in the Hamilton Jacobi Bellman equation. Our approach to the portfolio prob- lem is similar to the presentation in the paper [Hojgaard, B., Vigna, E., 2007. Mean-variance portfolio selection and efficient frontier for defined contribution pension schemes. ISSN 1399-2503. On-line version ISSN 1601-7811]. We pro- vide much more detail and we make the application to banking. We illustrate our findings by way of numerical simulations.

The thesis focuses on the operational risk, its identification, measurement and regulatory requirements associated with it. It defines what is the role of internal audit, departments that perform its function and relationship to the organizational structure of the company. Similarly, it is depict the relationship between internal and external audit. These facts are set in the context of operational risk. In the form of comparison are confronted four major banking institutions operating on the Czech market. The aim is to find out how banks manage operational risk, what tools are used for the quantification and how the whole process involve internal audit services and, finally, how they deal with regulatory requirements on capital.

Bank failures during recent years continue to cause stakeholders to question how board and senior management are overseeing and managing Operational Risk. This research evaluated the use of Operational Risk tools by South African banks who have adopted Advanced Measurement Approach (AMA) for management and calculation of Operational Risk capital, based on the Basel II requirements (Bank for International Settlements, 2006). The research was conducted under the assumption that when Operational Risk tools are adopted and used as prescribed by the Basel II Framework, it will lead to enhanced risk management practices and allow banks to identify emerging risks where controls can be designed to mitigate risks from materialising. This study was conducted using a quantitative method – the survey was sent to Operational Risk managers in the main segments of 3 South African AMA banks (ABSA, FIRSTRAND and NEDBANK), and senior managers in the group Operational Risk departments. The study found that Operational Risk tools are used and have been implemented as per Basel II requirements even though there are minor gaps. These tools have also been integrated in day-to-day processes; however there are some improvements required when it comes to a full integration and the use of the tools in the decision making processes. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

Since the implementation of the Basel II framework in 2007, banks have been given the  opportunity to apply for the option to develop intern models for calculating their required capital. The purpose with this opportunity is that the capital requirements will correspond to the real risk exposure. This has been criticized, since there are incentives for the bank to do  an incorrect risk assessment intentionally and through that get a lower capital requirement. In this report we study how this opportunity affects the banks’ capitalization and if stricter capital requirements in fact leads to that the Swedish banks are better prepared for a financial crisis. The report also describes the risks that this opportunity to internal rating  causes. The study has been done by qualitative method where seven people, with different interests in the market, have been interviewed. By the answers given by the respondents and by earlier publications this report reveals that stronger capitalization is positive, but that  the Basel framework causes a risk that the banks intentionally underestimates  their risks. Nor is it possible to conclude that the banks are better prepared for a crisis afterthe implementation. This is because the IRB approach is something new and therefore  not optimized and yet balanced.

Having the author been involved in banking and finance for almost 25 years, this thesis intends to reflect on the role of banks with emphasis on cross border lending and credit rating, their effectiveness and the impacts of cultural differences. Perhaps this would not differ substantially from a researcher or a scholar, yet the exploratory approach taken in this research will be somewhat different as it deliberately seeks to answer a number of questions relevant to practitioners in today’s banking. In trying to achieve this goal, this thesis hopefully may find its way to international bankers wondering about the perspectives of their business in general and their profession in specific. It even may perhaps improve the understanding of their clients. The Basel committee which published the new Basel II framework on bank regulation and supervision was the result of long and careful discussions, wide consultations and comprehensive impact studies. Whereas Basel II covers the entire risk profile and supervision of financial institutions, this research is limited to the cross border lending by banks to companies and provides the views from both practicing international bankers and their customers on their 3 expectations regarding Basel II, credit rating and the relevance of context and culture differences. Bankers all over the world are being trained on how to read balance sheets, yet less attention is being paid as to by whom they are being created and how precisely these balance sheets came into existence, other than the accountancy standards applied. Bankers furthermore seem to agree on the fact that credit risks in large part are related to the management competencies, effective corporate governance and integrity of management and organization. The argument could be made that the assessment of management capabilities, governance and integrity may be hindered in those cases where the culture is little understood. In a three days conferences titled; “The Future of Relationship Banking”, 80 senior executives from international banks and large companies were gathered in Punta del Este, Uruguay and were asked to speak about these aspects. A transcript of the conference is provided as annex to this thesis (Annex 1) and serves to triangulate the findings of the research. Main findings of three management papers were presented by the researcher during the conference. A survey was performed during the conference and in addition, through an online survey, in total over 100 practitioners in the field participated in the survey. Results show a variation of conclusions, but very especially seem to confirm the view, contrary to the approach taken in Basel II, that cultural differences and context are felt to be highly relevant in cross border lending.

新巴塞爾資本協定(Basel II)之內部評等法(IRB)的運用關鍵，在建立一個有效的信用風險模型，而此模型的功用在於將銀行的風險程度，以量化的風險因子來表達；而本研究即是針對新巴塞爾資本協定，探討在新協定的最低要求(Minimum Requirement)下，銀行欲採用內部評等法(IRB)架構信用風險系統時，應如何建立信用風險模型中「違約機率(PD)」的量化流程。 本篇研究以國內某家金融機構的資料為例，利用羅吉斯迴歸來進行製作信用評分模型，在信用評分模型正確性的指標測試中，不論是在Kolmogorov-Smirnov值、ROC比率、Gini係數的測試上，皆比原此家金融機構在正確性指標測試中更為出色。 最後，更進一步依照該模型所預測之違約機率，建立信用評等，並同時探討不同等級之客戶特性，使金融機構能更有效率地加強其風險控管，進而改善其顧客關係管理系統。