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Basel I to Basel II the Evolution of Risk Management Standards

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Basel I to Basel II the Evolution of Risk Management Standards White Paper Basel I to Basel II The evolution of Risk Management Standards WE PUT THE BANKING INTO BUSINESS INTELLIGENCE www.icreate.in Basel I to Basel II Contents 1. Executive Summary .........................................................................................................................................3 2. Basel I-II: An Overview ....................................................................................................................................3 2.1 A Historical Perspective .........................................................................................................................3 2.2 Basel I .................................................................................................................................................4 2.2.1 Basel I (Market Risk Amendment) ...........................................................................................4 2.3 Basel II .................................................................................................................................................5 2.3.1 Rationale for change to Basel II ..............................................................................................5 2.3.2 Basel II Pillars ..........................................................................................................................5 2.3.3 Options for computing RWA ....................................................................................................6 2.3.4 Computation Process ..............................................................................................................6 2.3.5 A Typical Credit Conversion Factor List – Standardized .........................................................7 2.3.6 Credit Risk Mitigation ...............................................................................................................7 2.3.7 Determine Risk Parameters – Advanced ................................................................................8 2.3.8 Determine Risk Parameters – Standardized ...........................................................................8 2.3.9 RWA Computation ...................................................................................................................9 2.3.10 Operations Risk .....................................................................................................................10 2.3.11 Operations Risk – Basic Indicator Approach and Standardized ...........................................10 2.3.12 Operations Risk – Advanced Measurement Approach (AMA) ..............................................11 2.3.13 Pillar II ....................................................................................................................................11 An iCreate White Paper 2 Basel I to Basel II Basel I to Basel II The evolution of Risk Management Standards 1. Executive Summary Basel II was introduced in the year 2005 to address new risks which had arisen in the world of Banking. Credit Risk was enhanced to evaluate risk at client level for wholesale banking while Basel I evaluated it at a sector level. Banks were given the option to develop their own model for credit risk. There were no new guidelines on market risk but Banks had to provide capital for operational risk as it was seen as a new risk due to increased globalization, outsourcing and use of technology. In addition to the above, two new pillars were introduced to cover risks that were not covered by Pillar I and disclosure of capital adequacy was mandated by the regulators as per pillar III guidelines. A lot of emphasis on independent verification of the ICAAP (Internal Capital Adequacy Assessment Process) which covered all risks not covered under pillar I and results of capital adequacy under stressed conditions. However, the economic downturn resulting from huge downturn of ratings of sub-prime backed securities and collapse of some banking organizations led BIS (Bank of International Settlements) to strengthen the capital requirements for banks to prevent banks from collapse by taking excessive risks. These revised guidelines are referred to as Basel III. This document explains the changes introduced in Basel III and explains the concepts with some examples to increase understanding of the new guidelines and its impact on banks. The changes introduced under Basel III can be summarized as given below: • Quality, Consistency and Transparency of Capital will be raised • Risk Coverage of Capital framework will be strengthened • Leverage ratio to be introduced as a supplementary measure to the risk framework • Reducing procyclicality and promoting countercyclical buffers • Introduction of Liquidity Coverage Ratio (short term) and Net Stable Funding Ratio for long term liquidity measure. It must be noted that Basel III guidelines are still in the formative stage and not final. As it involves significant changes in the Bank’s capital structure and risk management processes, there is a lead time of more than 6 years before everything will be implemented. Based on events and learning during the next 6 years, the guidelines will be continuously fine-tuned. 2. Basel I-II: An Overview This section gives an overview of the evolution of Basel I, II, III guidelines over a period of time. It gives an overview of the accord as it developed and gives a comparison across all the three versions. This section is presented in slide format with textual descriptions to supplement the details in the slides where required. 2.1 A Historical Perspective The above slide gives the timelines of issuance of various Basel guidelines. While there was a big gap between Basel I and Basel II guidance, globalization of banking and increased use of technology saw the introduction of Operational Risk in Basel II. Basel II also saw the introduction of three pillars – Pillar I (Credit, Market and Operational Risk), Pillar II (Supervisory reviews) and Pillar III (Disclosures). Basel III was more a correction based on learning from the financial meltdown in 2008 An iCreate White Paper 3 Basel I to Basel II 2.2 Basel I Basel I, that is, the 1988 Basel Accord, primarily focused on credit risk. Assets of banks were classified and grouped in five categories according to credit risk, carrying risk weights of zero (for example home country sovereign debt), ten, twenty, fifty, and up to one hundred percent (this category has, as an example, most corporate debt). Banks with international presence are required to hold capital equal to 8 % of the risk-weighted assets. The above diagram gives a sample computation of Risk Weighted Assets (RWA) under Basel I. Risk Weights are assigned based on regulatory segments that the customer belongs or based on products. 2.2.1 Basel I (Market Risk Amendment) In 1996, Basel Committee on Banking Supervision (BCBS) published an amendment to the 1988 Basel Accord to provide an explicit capital cushion for the price risks to which banks are exposed, particularly those arising from their trading activities. This amendment was brought into effect in 1998. The salient features of the amendment were as follows: • Allows banks to use proprietary in-house models for measuring market risks • Banks using proprietary models must compute VaR daily, using 99th percentile, one-tailed confidence interval with a time horizon of ten trading days using a historical observation period of at least one year. • The capital charge for a bank that uses a proprietary model will be the higher of the previous day’s VaR and three times the average of the daily VaR of the preceding sixty business days. • Use of ‘back testing’ (ex-post comparisons between model results and actual performance) to arrive at the ‘plus factor’ that is added to the multiplication factor of three. • Allows banks to issue short-term subordinated debt subject to a lock-in clause (Tier 3 capital) to meet a part of their market risks. • Alternate standardized approach using the ‘building block’ approach where general market risk and specific security risk are calculated separately and added up. • Banks to segregate trading book and mark to market all portfolio/position in the trading book. • Applicable to both trading activities of banks and non-banking securities firms While the accord allows for internal model or standardized model, there are many variations in the standardized model itself. Details of standardized approach which is a simplistic percentage based computation based on holding for Interest instruments, equities, Foreign Exchange, Commodities and Options. Refer http://riskinstitute.ch/134530.htm for details. There is no significant change in Market Risk in Basel II. An iCreate White Paper 4 Basel I to Basel II 2.3 Basel II Basel II is the second of the Basel Accords, which are recommendations on banking laws and regulations issued by the Basel Committee on Banking Supervision. The purpose of Basel II, which was initially published in June 2004, is to create an international standard that banking regulators can use when creating regulations about how much capital banks need to put aside to guard against the types of financial and operational risks banks face while maintaining sufficient consistency so that this does not become a source of competitive inequality amongst internationally active banks. Advocates of Basel II believe that such an international standard can help protect the international financial system from the types of problems that might arise should a major bank or a series of banks collapse.
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