Basel II Publications

The Basel II document was originally published in 2004 with the objective of creating standards and regulations around how much capital banks must hold. The regulation is divided into three pillars concerned with minimum capital requirements, supervisory review and market discipline. Read on for more information.

Author: Sandrine Prioux
Date: March 11, 2011

Most of the global banking and insurance regulations have been initiated or inspired by the work of the Basel Committee on Banking Supervision and its so-called “Basel regulations”. Read this article to understand what the Basel Committee is, what it aims to achieve, and its impact on the regulations your clients and prospects have to comply with today.

Author: Sandrine Prioux
Date: March 11, 2011

New compliance issues are centred on measuring credit risk and calculating capital adequacy ratios. This is achieved through the standardised approach and an internal ratings approach. Read on for more information.

Author: Sandrine Prioux
Date: March 11, 2011

Pillar 2 of the Basel II framework is concerned with banks’ internal capital assessment and allowing efficient regulatory supervision. To comply with Pillar 2, banks are required to undertake an Internal Capital Adequacy Process or ICAAP. Read on for more information.

Author: Sandrine Prioux
Date: March 11, 2011

In April 2008, the Basel Committee on Banking Supervision (BCBS) announced a series of changes to the Basel II framework as an immediate response to the financial crisis. What are the key requirements?

Author: Sandrine Prioux
Date: March 11, 2011

This slide presentation provides some historical perspective on approaches to PG/LGD model development and the operational risks inherent in building and using these models. It also focuses on the tools available to manage the risks associated with PD/LGD modelling, such as a lack of data. Moody’s techniques for dealing with Low Default Portfolios are presented alongside an explanation of how LGD is measured.

Author: Jason Kofman
Date: February 1, 2011

This presentation by Christian Thun, Risk Practice Leader EMEA, Moody’s Analytics offers an insight into the new sets of challenges faced by the banking industry and other financial institutions following the financial crisis. In 2008 financial institutions defaulted on almost $223 billion, more than 15 times the default volume in 2001 and almost 70 times greater than the 1991 volume. Why was this and could stress testing have helped plug the holes that led to collapse?

Author: Christian Thun 
Date: January 18, 2011

A presentation focusing on what Enterprise Risk and Performance Management (ERPM) is and why it is necessary. We show you why it is highly necessary in the current post downturn environment and required by the regulator, by shareholders, investors and by your management. Volatile markets call for systematic analysis of expected return vs risks and ERPM is the way to achieve this at an industrial scale as it can bring long term strategic value.

Author: Gil Guillaumey
Date: October 13, 2010

Amnon Levy, Managing Director, Head of Portfolio Research, Moody’s Analytics looks at the importance of understanding and managing liquidity funding in light of the credit crunch. Nowadays the banks’ funding liquidity costs have a greater bearing on Funds Transfer Pricing (FTP) because credit ratings of banks have deteriorated, leading to a sharp increase in funds. The challenge is for financial institutions to assign an FTP to each instrument on an enterprise wide basis and to break it down into different components that can be translated into actionable measures.

Author: Amnon Levy 
Date: April 2010

The risks associated with incorrectly measuring liquidity exposure are at an all time high. Many businesses took their eye of the ball when times were good, and as a result now have heavy debt loads. Governments too understand the need to encourage liquidity through financial markets and have taken steps to increase its flow. In this article the case is made for a return to asset based liquidity strategies that use available funds, and not through the sale of receivables. However it is likely that regulation and behaviour will determine how and if this can be achieved.

Author: Alain Maure
Date: February 2010

This article from August 2009 centres on Moody’s liquidity management compliance solution, which combines software and professional services, and is built with both regulatory requirements and broader risk management challenges in mind. It offers a range of benefits spanning data collection, stress simulation, regulatory calculations, and group-wide enhanced liquidity management. It also looks at the perceived challenges for UK institutions at that time.

Author: Nicolas Kunghehian
Date: August 11, 2009

Risk analysis, or the lack thereof, has brought many of the biggest and supposedly ‘too big to fail’ banks to their knees. In this report, Dr Christian Thun gets to grips with the nuts and bolts of internal risk management and suggests new approaches to an age old problem. He argues for an internal ratings tool that can support all credit risk activities and underlines how such a tool can bring a number of advantages to an organisation, including profitability.

Author: Christian Thun
Date: February 2009