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Autor
Prorokowski Lukasz
Tytuł
Analysing Revisions to the Standardised Approach in Credit Risk : Evidence from Sovereigns
Źródło
Bank i Kredyt, 2017, nr 3, s. 235-261, aneks, bibliogr. 29 poz.
Bank & Credit
Słowa kluczowe
Nadzór bankowy, Standaryzacja, Ryzyko kredytowe
Bank supervision, Standardization, Credit risk
Uwagi
Klasyfikacja JEL: G21, G28
summ.
Firma/Organizacja
Bazylejski Komitet Nadzoru Bankowego
Basel Committee on Banking Supervision
Abstrakt
In December 2015, the Basel Committee on Banking Supervision issued an updated consultative paper that proposes new standards for the standardised treatment of credit risk exposures in the banking book. Reviewing the proposed changes to calculating risk weights, this paper advises on areas that require further improvements from regulators and policymakers, and immediate attention from practitioners. The paper empirically tests for a trade-off between various methodologies of calculating risk weights for sovereign exposures under the standardised approach for credit risk. In doing so, the paper highlights large discrepancies in the risk-weighted capital caused by choosing different calculation methods prescribed by the revised standards. The paper concludes that the standards for the standardised treatment of credit risk require further amendments to address the issues revolving around different capital levels for the same exposure. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
Pokaż
Bibliografia
Pokaż
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  2. BBA (2016), Revisions to the Standardised Approach for Credit Risk, BBA Response to the Basel Committee's Proposals to Revise the Standardised Approach to Credit Risk, British Bankers' Association.
  3. BCBS (2014), Standards - Revisions to the Standardised Approach for Credit Risk, First Consultative Document, Basel Committee on Banking Supervision, Bank for International Settlements, http://www.bis.org/bcbs/publ/d307.pdf.
  4. BCBS (2015), Standards - Revisions to the Standardised Approach for Credit Risk, Second Consultative Document, Basel Committee on Banking Supervision, Bank for International Settlements, http://www.bis.org/bcbs/publ/d347.pdf.
  5. Benzin A., Truck S., Rachev S.T. (2003), Approaches to credit risk in the New Basel Capital Accord, Contributions to Economics, 1-33.
  6. EBA (2015), Future of the IRB approach, EBA Discussion Paper, EBA/DP/2015/01, European Banking Authority, https://www.eba.europa.eu/documents/10180/1003460/EBA-DP-2015- 01+DP+on+the+future+of+IRB+approach.pdf.
  7. Ferguson R.W. (2003), Capital standards for banks: the evolving Basel Accord, Federal Reserve Bulletin, 89(9), 395-405.
  8. FSB (2010), Principles for Reducing Reliance on CRA Ratings, Financial Stability Board, http://www.fsb. org/wp-content/uploads/r_101027.pdf?page_moved=1.
  9. FSB (2015), Global Shadow Banking Monitoring Report 2015, Financial Stability Board, http://www.fsb. org/wp-content/uploads/global-shadow-banking-monitoring-report-2015.pdf.
  10. Governing (2014), Bankrupt Cities, Municipalities List and Map, http://www.governing.com/gov-data/ municipal-cities-counties-bankruptcies-and-defaults.html.
  11. Hagendorff J., Vallascas F. (2013), Bank capital requirements: risk weights you cannot trust and the implications for Basel III, CEPR Working Paper, 17/12/13, Centre for Economic Policy Research, http://voxeu.org/article/basel-risk-weights-can-t-be-trusted.
  12. Humphrey C. (2015), Are credit rating agencies limiting the operational capacity of multilateral development banks, G-24 Paper, http://g24.org/wp-content/uploads/2015/06/Are-Credit-Rating- Agencies-Limiting-the-Operational-Capacity-of-Multilateral-Development-Banks.pdf.
  13. IMF (2010), Global Financial Stability Report: Sovereigns, Funding and Systemic Liquidity, October, International Monetary Fund, https://www.imf.org/external/pubs/ft/gfsr/2010/02/pdf/chap3.pdf.
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  15. Jackson P. (2001), Bank capital standards: the New Basel Accord, Bank of England Quarterly Bulletin, 41(1), 55-63.
  16. Jackson P. (2016), The likely path for Basel capital requirements - piecemeal change rather than Basel IV?, EY Global Regulatory Network Executive Briefing Paper, January, Ernst & Young, http://www.ey.com/Publication/vwLUAssets/EY-the-likely-path-for-basel-capital-requirementspiecemeal- change-rather-than-basel-iv/$FILE/EY-the-likely-path-for-basel-capital-requirementspiecemeal- change-rather-than-basel-iv.pdf.
  17. Jones D. (2000), Emerging problems with the Basel Capital Accord: regulatory capital arbitrage and related issues, Journal of Banking and Finance, 24(1/2), 35-56.
  18. KPMG (2016), Standardised approach for credit risk: almost back to where we started, KPMG Alert Paper, 16 January, https://home.kpmg.com/xx/en/home/insights/2016/01/standardised-approach-forcredit- risk-fs.html.
  19. Le Lesle V., Avramova S. (2012), Revisiting risk-weighted assets: Why do RWAs differ across countries and what can be done about it, IMF Working Paper, WP/12/90, March, International Monetary Fund.
  20. Martin T.W. (2015), Justice Department investigating Moody's Investor Service, Wall Street Journal, 1 February.
  21. OECD (2016), Country Risk Classifications, Organisation for Economic Co-operation and Development, http://www.oecd.org/trade/xcred/crc.htm.
  22. Ojo M. (2015), Risk drivers as alternatives to risk weights and external credit ratings: regulatory developments, North West University Working Paper, 7 June, http://ssrn.com/abstract=2615448.
  23. PRA (2013), Credit risk: internal ratings based approaches, Consultation Paper, CP4/13, March, Prudential Regulation Authority, Bank of England.
  24. PRA (2015), The Pillar 2 framework - background, Prudential Regulation Authority, Bank of England, http://www.bankofengland.co.uk/pra/Documents/pillar2framework.pdf.
  25. Prorokowski L., Prorokowski H. (2014a), Organisation of compliance across financial institutions, Journal of Investment Compliance, 15(1), 65-76.
  26. Prorokowski L., Prorokowski H. (2014b), Comprehensive risk measure - current challenges, Journal of Financial Regulation and Compliance, 22(3), 271-284.
  27. Reuters (2016), UPDATE 3-S&P shocks Poland with credit rating downgrade, 15 January.
  28. Vallascas F., Hagendorff J. (2013), The risk sensitivity of capital requirements: evidence from an international sample of large banks, Review of Finance, 17, 1947-1988.
  29. Van Roy P. (2005), Credit ratings and the standardised approach to credit risk in Basel II, ECB Working Paper, 517, European Central Bank, http://www.ecb.int.
Cytowane przez
Pokaż
ISSN
0137-5520
Język
eng
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