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The New Basel Capital Accord and Questions for Research
Company: Federal Reserve Bank of New York
Company Url: Click here to open
Year Of Publication: 2003
Month Of Publication: May
Pages: 35
Download Count: 2122
View Count: 9568
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 4-8-2004
Publisher: Administrator
Summary
The New Basel Accord for bank capital regulation is designed to better align regulatorycapital to the underlying risks by encouraging better and more systematic risk management practices,especially in the area of credit risk. We provide an overview of the objectives, analytical foundationsand main features of the Accord and then open the door to some research questions provoked by theAccord. We see these questions falling into three groups: what is the impact of the proposal on theglobal banking system through possible changes in bank behavior; a set of issues around risk analyticssuch as model validation, correlations and portfolio aggregation, operational risk metrics and relevantsummary statistics of a bank’s risk profile; issues brought about by Pillar 2 (supervisory review) andPillar 3 (public disclosure)
Author(s)
Saidenberg, Marc R. Sign in to follow this author
Schuermann, Til Sign in to follow this author
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