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Author: Grafiati

Published: 10 December 2022

Last updated: 29 January 2023

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1

Ramirez, Juan. Handbook of Basel III Capital. Chichester, UK: John Wiley & Sons, Ltd, 2017. http://dx.doi.org/10.1002/9781119330844.

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1956-, Gregoriou Greg N., ed. Operational risk towards Basel III: Best practices and issues in modeling, management and regulation. Hoboken, N.J: John Wiley & Sons, 2009.

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3

Zhongguo yin hang ye jian du guan li wei yuan hui, ed. Di san ban Basaier xie yi. Beijing shi: Zhongguo jin ron gchu ban she, 2011.

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4

United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Oversight of Basel III: Impact of proposed capital rules : hearing before the Committee on Banking, Housing, and Urban Affairs, United States Senate, One Hundred Twelfth Congress, second session ... November 14, 2012. Washington: U.S. Government Printing Office, 2013.

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5

United States. Congress. House. Committee on Financial Services. Subcommittee on Financial Institutions and Consumer Credit. Examining the impact of the proposed rules to implement Basel III capital standards: Joint hearing before the Subcommittee on Financial Institutions and Consumer Credit and the Subcommittee on Insurance, Housing, and Community Opportunity of the Committee on Financial Services, U.S. House of Representatives, One Hundred Twelfth Congress, second session, November 29, 2012. Washington: U.S. Government Printing Office, 2013.

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6

Simon, Gleeson. Part III Investment Banking, 18 Securitization and Repackaging. Oxford University Press, 2018. http://dx.doi.org/10.1093/law/9780198793410.003.0018.

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This chapter discusses securitization requirements under Basel 3. The Basel 3 reforms have rewritten the capital treatment of securitisations. However this rewriting sits on top of some major restructuring of the regime effected by Basel 2.5. Given that the Basel Accord is intended to reflect credit risk, it might be expected that the rationale for a separate treatment of securitization exposures would have disappeared, and that exposures to securitization vehicles would be evaluated in exactly the same way as exposures to other types of vehicles, based on credit characteristics. However, the opposite is the case. The chapter begins with an explanation of securitization. It then discusses true sale and derecognition of assets, risk weighting of securitization exposures, weighting holdings of securitization positions, the internal ratings-based approach approach, and revolving credit securitizations.

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7

Ramirez, Juan. Handbook of Basel III Capital: Enhancing Bank Capital in Practice. Wiley & Sons, Incorporated, John, 2016.

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8

Ramirez, Juan. Handbook of Basel III Capital: Enhancing Bank Capital in Practice. Wiley & Sons, Incorporated, John, 2016.

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9

Ramirez, Juan. Handbook of Basel III Capital: Enhancing Bank Capital in Practice. Wiley & Sons, Limited, John, 2016.

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10

HANDBOOK OF BASEL III CAPITAL: ENHANCING BANK CAPITAL IN PRACTICE. JOHN WILEY, 2017.

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11

Library, The Law. Regulatory Capital - Implementation of Basel III, Capital Adequacy, Transition Provisions, etc. CreateSpace Independent Publishing Platform, 2018.

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12

Mendoza, Caroline R. Bank Capital and Basel III Regulations: Implementation and Effects. Nova Science Publishers, Incorporated, 2015.

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13

Karim, Rifaat Ahmed Abdel, and Simon Archer. Islamic Capital Markets and Products: Managing Capital and Liquidity Requirements under Basel III. Wiley & Sons, Incorporated, John, 2017.

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14

Karim, Rifaat Ahmed Abdel, and Simon Archer. Islamic Capital Markets and Products: Managing Capital and Liquidity Requirements under Basel III. Wiley & Sons, Incorporated, John, 2017.

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15

ISLAMIC CAPITAL MARKETS AND PRODUCTS: MANAGING CAPITAL AND LIQUIDITY REQUIREMENTS UNDER BASEL III. JOHN WILEY, 2018.

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16

Karim, Rifaat Ahmed Abdel, and Simon Archer. Islamic Capital Markets and Products: Managing Capital and Liquidity Requirements under Basel III. Wiley & Sons, Limited, John, 2017.

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17

Wezel, Torsten. Conceptual Issues in Calibrating the Basel III Countercyclical Capital Buffer. International Monetary Fund, 2019.

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18

Wezel, Torsten. Conceptual Issues in Calibrating the Basel III Countercyclical Capital Buffer. International Monetary Fund, 2019.

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19

Wezel, Torsten. Conceptual Issues in Calibrating the Basel III Countercyclical Capital Buffer. International Monetary Fund, 2019.

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20

Ocampo, José Antonio. Resetting the International Monetary (Non)System. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780198718116.001.0001.

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This book provides an analysis of the global monetary system and the necessary reforms that it should undergo to play an active role in the twenty-first century. As its title indicates, its basic diagnosis is that it is an ad hoc framework rather than a coherent system—a ‘non-system’—which evolved after the breakdown of the original Bretton Woods arrangement in the early 1970s. The book places a special focus on the asymmetries that emerging and developing countries face within the current system, and therefore on the development dimensions of the global monetary system and of global monetary reform. The book proposes a comprehensive yet evolutionary reform of the system that includes: (i) provision of international liquidity through a system that mixes the multi-currency arrangement with a more active use of the IMF’s Special Drawing Rights (SDRs), the only true global currency that has been created; (ii) stronger mechanisms of macroeconomic policy cooperation, including greater cooperation in exchange rate management, and freedom to manage capital flows as a complement to counter-cyclical macroeconomic policy and other instruments of financial regulation; (iii) additional automatic balance-of-payments financing facilities, and the complementary use of swap and regional arrangements; (iv) a multilateral sovereign debt workout mechanism; and (v) major reforms of the system’s governance, based on a more representative apex organization, more equitable participation of emerging and developing countries in decision-making, and a network of global, regional, inter-regional, and sub-regional organizations.

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21

Olsson, Carl. Basel III: The Three Pillars, Capital Adequacy, Liquidity and Leverage Ratios Explained. Authors OnLine, Limited, 2022.

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22

Operational Risk Toward Basel III: Best Practices and Issues in Modeling, Management, and Regulation. Wiley & Sons, Incorporated, John, 2009.

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23

Gregoriou, Greg N. Operational Risk Toward Basel III: Best Practices and Issues in Modeling, Management, and Regulation. Wiley & Sons, Incorporated, John, 2009.

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24

Gregoriou, Greg N. Operational Risk Toward Basel III: Best Practices and Issues in Modeling, Management, and Regulation. Wiley & Sons, Incorporated, John, 2009.

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25

Gregoriou, Greg N. Operational Risk Toward Basel III: Best Practices and Issues in Modeling, Management, and Regulation. Wiley & Sons, Limited, John, 2011.

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26

Simon, Gleeson. Part I The Elements of Bank Financial Supervision, 6 The Bank Capital Calculation—Basel III. Oxford University Press, 2012. http://dx.doi.org/10.1093/law/9780199643981.003.0006.

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27

Simon, Gleeson. Part III Investment Banking, 13 Trading Book—Standardized Approaches. Oxford University Press, 2018. http://dx.doi.org/10.1093/law/9780198793410.003.0013.

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This chapter discusses trading book models. Risk models come in a variety of types. However, for market risk purposes there have been a number of types which may be used within the framework. The simplest is the ‘CAD 1’ model — named after the first Capital Adequacy Directive, which permitted such models to be used in the calculation of regulatory capital. VaR models, permitted by Basel 2, were more complex, and this complexity was increased by Basel 2.5, which required the use of ‘stressed VAR’. In due course all of this will be replaced by the Basel 3 FRTB calculation, which rejects VAR and is based on the calculation of an expected shortfall (ES) market risk charge, a VaR based default risk charge (DRC) (for those exposures where the bank is exposed to the default of a third party), and a stressed ES-based capital add-on.

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28

Simon, Gleeson. Part III Investment Banking, 16 Credit Value Adjustment. Oxford University Press, 2018. http://dx.doi.org/10.1093/law/9780198793410.003.0016.

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The chapter discusses credit value adjustment (CVA) under Basel 2.5 and Basel 3. CVA is an adjustment to the fair value (or price) of derivative instruments to account for counterparty credit risk (CCR). Thus, CVA is commonly viewed as the price of CCR. The purpose of the CVA capital charge is to capitalize the risk of future changes in CVA. For most exposures, at any given time the market credit spread on the relevant counterparty is good proxy for the CVA applicable to the exposure, but the regulatory calculations involved reflect a number of factors as well as this particular input.

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29

Ocampo, José Antonio. Reforming the (Non)System. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780198718116.003.0007.

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This chapter proposes a comprehensive yet evolutionary reform of the global monetary non-system that evolved out of the breakdown of the original Bretton Woods arrangement in the early 1970s. The recent North Atlantic financial crisis showed how dysfunctional the current international monetary and financial architecture is for managing today’s global economy, and led to calls to reform it. Proposals for reform in this chapter include: (i) a global reserve system that mixes the multi-currency arrangement with an active use of the International Monetary Fund’s Special Drawing Rights; (ii) stronger mechanisms of macroeconomic policy cooperation, including management of the exchange rate system and capital account regulations; (iii) additional automatic balance-of-payments financing facilities, and the complementary use of swap and regional arrangements; (iv) a multilateral sovereign debt workout mechanism; and (v) major reforms of the system’s governance.

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30

De Laurentis, Giacomo, Eugenio Alaio, Elisa Corsi, Emanuelemaria Giusti, Marco Guairo, Carlo Palego, Luca Paulicelli, et al. Rischio di credito 2.0. AIFIRM, 2021. http://dx.doi.org/10.47473/2016ppa00030.

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The EBA Guidelines on loan origination and monitoring (hereinafter "GL LOM") undoubtedly represent a substantially new piece of the banking regulatory framework. In fact, for the first time, the regulator moves into a topic that was traditionally outside the scope of financial regulation, so far almost exclusively focused on aspects directly linked to both micro- and macro-prudential stability, notably through capital and liquidity management requirements and guidelines on Business Model and Internal Governance. The credit management process, and in particular loan origination and monitoring, has always been typically considered as a business issue under sole responsibility of banks, as it is considered one of the "core" processes (if not the "core" process) of the banking business. As a matter of fact, since the issue of the capital requirement regulation (i.e., Basel II and Basel III), and the introduction of the use requirements for the rating systems, the regulator moved very close, but not yet, to prescribe specific credit assessment criteria, while dictating methodological and organizational requirements for the authorization of the rating systems, and leaving substantial freedom to banks to define their own models and embedded assessment criteria and indicators. With the GL LOM, the regulator takes a further step, remarkably beyond its traditional remit, dictating principles and rules for the evaluation of the credit quality of borrowers. The starting point for this new approach from the regulator can be found in the ECB guidelines on Non-Performing Loans, later endorsed by the Bank of Italy Guidelines for Less Significant Banks, aimed at encouraging banks to define their NPL management processes and establish reduction plans to achieve NPL ratio targets in line with the regulator's expectations. Consistently with the focus on NPL, the regulation on Calendar Provisioning, amending the CRR was issued; as being a Regulation, it involves all banks, and not only significant ones (for which the ECB Addendum also applies). In addition, the new definition of default (the so-called "new Dod") has defined stricter criteria for the transition of exposures to the default status and also made the return of "cured" exposures to the performing status more difficult. The combined effect of these regulatory changes has been to make the default of counterparties not only more probable but also much more "expensive" for the banks. The natural “next step” of these regulatory changes was to "move backward" into the management process covering loan origination and monitoring . The EBA's stated objective with the issuance of the GL LOM is to define "robust and prudent" standards of lending practices so as to maintain a low level of NPLs in the future. Therefore, the focus of the GL LOM is the definition of requirements (some outlined as prescriptions, others in terms of principles) for the creditworthiness assessment of counterparties and for the management of the related data and information. Notwithstanding the fact that the Final Report has articulated the principle of proportionality much more clearly as compared to the Consultation Paper, the GLs set out three macro-categories of counterparties for which specific requirements are defined: • Individuals • Micro and small businesses • Medium and large companies. The GL LOM also provide recommendations about the valuation of guarantees both at origination and during ongoing monitoring, encouraging the use of advanced statistical models. The GL LOM focus on real estate guarantees, while financial collateral is outside the scope of the GL LOM. In the mind of the regulator, the GL LOM should not only reflect industry practices, but also incorporate the latest supervisory guidance on lending, and provide the stimulus to include ESG, AML/CTF and the use of innovative technologies into banking origination and, where applicable, monitoring processes.

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