The New Basel Capital Accord and Questions for Practice and Research.pptVIP

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The New Basel Capital Accord and Questions for Practice and Research.ppt

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The New Basel Capital Accord and Questions for Practice and Research

The New Basel Capital Accord and Questions for Practice and Research Marc Saidenberg, Til Schuermann* Federal Reserve Bank of New York SOA/CAS Conference on Enterprise Risk Management April 27, 2004 Objectives of the New Basel Accord Develop a measure of capital adequacy that is: More risk-sensitive Better suited to the complex activities of large, internationally-active banks Capable of adapting to the evolution of markets and products Encourage improvements in risk management and emphasize internal assessments of capital adequacy and market discipline Key challenges for development and calibration include: Better alignment of regulatory and economic capital measures Desire to balance risk sensitivity for all bank activities against overall detail and complexity Questions for Practice and Research on 3 Fronts 1) Impact of proposal on banking system Currently tailored for developed markets Impact on emerging markets? Pro-cyclicality Competition 2) Risk analytics Validation The 4 parameters: LGD, PD (transition matrices), Maturity, Exposure Correlation and credit portfolio analysis Operational risk metrics Coherent risk measures 3) Pillars 2 and 3 Supervision, regulatory forbearance What to disclose? We focus broadly on estimation and validation Leave out any discussion of the challenges of rating system structure development and implementation 1) Impact of Proposal on Banking System Target audience: internationally active (developed market) banks Designed to provide incentives for banks to enhance their risk management capabilities Capital under advanced IRB should be than under standardized approach Will that be true for emerging markets? BIS 2 parameters “calibrated” for target audience 1996 Market Risk Amendment provided dis-incentive for EM banks to migrate to internal models approach Will this be true for BIS 2? 1) Impact of Proposal on Banking System “Lucas critique:” the very introduction of the New Basel Accord will likely influence bank b