Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: The new Basel Capital Accord is intended to align capital adequacy of banks more closely with the key
components of banking risk and to provide incentives for banks to improve their risk measurement and
management capabilities. This has important implications for banks, particularly in the area of credit risk
management.
The purpose of this study is to take an in-depth look at the implications for banks in the area of credit
risk management and the choice of approach (i.e. standardised versus internal ratings based approach)
to be adopted. These changes in approach to credit risk will have broader economic implications and
the study will in its final analysis explore these in the context of South Africa, as an emerging market.
The study is split into three sections:
Section A
• Introduction and background to the New Basel Capital Accord;
• Detailed overview on the New Basel Capital Accord with a particular emphasis on the internal
ratings based approach to calculating minimum capital.
Section B
An in-depth discussion of credit risk management and the practical implications of moving towards an
internal ratings based approach, which will eventually allow banks to take on a full portfolio approach to
credit risk management. This will enable banks to manage credit risk across sub-portfolios and set
economic capital based on the portfolio loss distribution of the banks entire lending book. This is an
extremely important development in credit risk management and as a consequence is covered in some
detail.
The adoption of an internal ratings based approach offers significant rewards in the form of lower
statutory capital. A profile of the current capitalisation of SA banks is provided followed by the likely effect of the standardised versus the internal ratings based approach to credit risk management, on the
minimum level of statutory capital of banks.
Section C
The final section covers the envisaged macro effects of the New Accord on emerging markets (procyclical
trends, lending concentrations, foreign capital flows and bank failures) with specific comment
provided on the implications for the SA banking environment and economy.
In conclusion, South African banks should as a priority move towards an internal ratings based
approach to credit risk management in order to benefit from the lower statutory requirements, which
accrue in the advanced phase. While the accord is likely to impact significantly on emerging markets,
South Africa fortunately has a sophisticated banking system by international standards, making the
adoption of an internal ratings based approach by the larger SA banks inevitable. The benefits for
smaller banks are questionable and at this stage they are unlikely to move beyond the standardised
approach, unless compelled to do so. / AFRIKAANSE OPSOMMING: Die "New Basel Capital Accord" het ten doel om die kapitaal vereistes neergelê vir banke meer in lyn te
bring met die risiko komponent gekoppel bankwese. Dit hou 'n belangrike implikasie vir banke in en
verskaf voorts ook 'n dryfveer vir banke om die bestuur van krediet risiko en algehele
bestuursvaardighede te verbeter.
In hierdie studie word 'n indiepte ondersoek onderneem aangaande die implikasie op banke van krediet
risiko-bestuur en die keuse van die benadering wat gevolg word. Hierdie veranderings in die
benadering (dws.standard teenoor interne-graderings benadering) tot krediet risiko hou breër
ekonomiese implikasies vir banke in. Hierdie ekonomiese implikasies op SA as 'n ontwikkelende mark
word in die finale analise ondersoek.
Die studie kan in drie afdelings verdeel word:
Afdeling A:
• Inleiding en agtergrond tot die "New Basel Capital Accord" en
• 'n Gedetaileerde oorsig van die "New Basel Capital Accord" met spesifieke verwysing na die
interne-graderings benadering om die minimum vereiste kapitaal te bepaal.
Afdeling B:
Hierdie afdeling ondersoek krediet risiko bestuur en die praktiese implikasies van die
aanvaarding/instelling van 'n interne graderings benadering, en die effek wat dit sal hê op 'n totale
portefeulje benadering tot krediet risiko. Die gevolg is dat banke krediet risiko oor sub-portefeuljes sal
kan bestuur en kapitaal vlakke vasstel gebaseer op verwagte portefeulje verliese. Hierdie is 'n
belangrike ontwikkeling in krediet risiko bestuur en word vervolgens in diepte behandel.
Die aanvaarding van 'n interne-graderings benadering tot gradering hou voordele in vir banke in die
vorm van laer statutêre kapitaal vereistes. 'n Profiel van die kapitalisasie van SA banke word verskaf, gevolg deur die verskil in die effek van die standaard benadering tot die interne
graderings benadering op krediet risiko bestuur en die vereiste minimum statutêre kapitaal.
Afdeling C:
Die finale afdeling ondersoek die beoogde makro ekonomiese effek van die "New basel capital Accord"
op ontwikkelende marke (pro-sikliese neiging, lenings konsentrasies en bank mislukkings) met
spesifieke verwysing na die implikasies op SA bankwese en ekonomie.
Ter afsluiting moet SA banke so spoedig moontlik die interne-graderings benadering tot krediet risiko
aanvaar om voordeel te trek uit die laer kapitaal vereistes wat "ophoop in die gevorderde stadium." Daar
word verwag dat die "New Basel Capital Accord" 'n wesenlike invloed op die ontwikkelende mark sal hê.
SA het egter 'n gesofistikeerde en gevestigde bankstelsel wat goed vergelyk met internasionale
standaarde. Die aanvaarding van 'n interne-graderings benadering deur die die groter SA banke is
onafwendbaar. Die voordele wat dit vir kleiner banke inhou kan bevraagteken word en is op hierdie
stadium onwaarskynlik dat so 'n benadering deur hulle geïmplimenteer sal word.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/52710 |
| Date | 12 1900 |
| Creators | Chadwick, Warren |
| Contributors | Biekpe, N., Stellenbosch University. Faculty of Economic & Management Sciences . Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | English |
| Type | Thesis |
| Format | 65 p. : ill. |
| Rights | Stellenbosch University |
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