Académique Documents
Professionnel Documents
Culture Documents
Introduction 7
Basel II Accord 8
KPMG support regarding Basel II implementation 11
Timelines 25
13. When do banks have to comply with Basel II? 26
14. Is the parallel run a requirement? 26
15. Is it possible to switch between Basel II approaches? 27
16. What is the duration of the use test? 27
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Credit risk 29
18. What approaches are there for credit risk? 30
19. What are the differences between the approaches
for credit risk? 30
20. What is the relation between regulatory capital
and risk weighted assets? 31
21. How is the scaling factor determined? 31
22. When is a bank considered to be ‘broadly compliant’? 32
23. What is the new portfolio structure recognized by DNB? 33
24. Is it possible to use different approaches for different
asset classes or legal entities? 34
25. For which portfolios are LGD models required when
using the IRB Foundation approach? 34
26. How should participations and mezzanine structures
be treated in the standardized approach? 35
27. How to deal with private equity? 36
28. What are the existing requirements for the diversity
of retail portfolios? 36
29. What is the consequence of a difference between
provisions and the calculated expected loss? 37
30. When do overdrafts impact regulatory capital? 38
31. What do I leave when I choose for the standardized
approach? 38
32. Have floors been set for the changes in capital
requirements? 39
33. How is a maturity mismatch applied to securitizations? 40
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Operational risk 51
43. What approaches are there for Operational
Risk Management? 52
44. What are the differences between the three
operational risk approaches for calculating the
regulatory capital? 52
45. What are the qualitative differences between the
three operational risk approaches? 54
46. Which business lines are there under the
standardized approach for operational risk? 55
47. Which risks are operational risks? 56
48. When do the sound practices for operational risk
management apply? 56
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Pillar 2 63
58. What is ICAAP and what is new about ICAAP? 64
59. What are the possible reasons for a difference
between economic and regulatory capital? 64
60. Are banks required to have an internal capital
assessment framework? 65
61. Why does Basel II expect the capital requirements
under Pillar 2 to be higher than under Pillar 1? 65
62. How should concentration risk be treated? 65
Data & IT 67
63. What are the IT aspects of Basel II? 68
64. What are the requirements for data availability? 68
65. Which parties provide the relevant external data? 70
66. How are models validated? What are the criteria
for validation? 70
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Contact details 81
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Minimum
capital Supervision Disclosure
requirements
• Internal risk management • Reporting to supervisor • Requirements regarding
• Risk modeling and • Qualitative requirements the disclosure of
quantitative measurement for risk management information to stakeholders
• Calculation of minimum • Role of the supervisor • Financial market will have
capital requirements • Capture risks not identified more information to assess
under Pillar 1 actual risk profile of banks
Assess and plan Design and implement Use test and Monitor and
approval control
Corporate Governance/
Organisation Risk Management
Basel II Implementation
Credit Risk
Basel II Implementation
Operational Risk
Master Plan
Approach
Economic Capital
Data
Disclosure
(including linkage to IFRS)
Supervisory Review
Systems Process
B A S E L I I Readiness Assessment
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Capital
= BIS ratio (min 8)
Credit risk + Market risk + Operational risk
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where
(a) RW* represents the risk-weighted exposure
amounts. The risk-weighted exposure amounts
calculated in respect of its positions in a
securitisation may be limited to the sum of 8%
of the risk-weighted exposure amounts which
would be produced if the securitised assets had
not been securitised and were on the balance
sheet of the credit institution plus the expected
loss amounts of those exposures.
(b) RW(Ass) represents the risk-weighted
exposure amounts for exposures had they not
been securitized, calculated on a pro rata basis;
(c) RW(SP) represents the risk-weighted
exposure amounts as if there were no maturity
mismatch;
(d) T represents the maturity of the underlying
exposures, expressed in years;
(e) t represents the maturity of the securitization,
expressed in years.
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Approach Calculation
capital charge
• Scenario analysis
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• Corporate finance
• Trading & sales
• Retail banking
• Commercial banking
• Payment & settlement
• Agency services
• Asset management
• Retail brokerage
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Operational risk
When adopting the AMA, a bank should have
three years of historical loss data when it first
moves to AMA (this includes the parallel
calculations). Subsequently, operational risk
models under AMA must use a minimum five-
year of internal loss data, whether the internal
loss data is used directly to build the loss
measure or to validate it.
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• Objectivity
• Independence
• International access/transparency
• Disclosure
• Resources
• Credibility.
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