March 12, 2010, 02:58 CET
Basel II
Comprehensive quantitative impact study
The Basel Committee on Banking Supervision is planning extensive amendments to capital and liquidity regulation. The ongoing decision-making processes are based on the following two consultative documents:
- Strengthening the resilience of the banking sector
- International framework for liquidity risk measurement, standards and monitoring
A comprehensive quantitative impact study to assess the effects of the proposed amendments is due to be conducted. The changes concerning market risk and securitisation agreed in 2009 will also be covered by the impact study. For this purpose, the Basel Committee published the following documents in July 2009:
- Revisions to the Basel II market risk framework
- Guidelines for computing capital for incremental risk in the trading book
- Enhancements to the Basel II framework
The quantitative impact study will be coordinated by the Committee of European Banking Supervisors (CEBS) at the European level. The results of the European quantitative impact study, which will be conducted concurrently with the Basel process, will also materially influence the future legislative process regarding amendments to the Capital Adequacy Directive.
The data collection cut-off date is 31 December 2009. The participating institutions must submit their questionnaires by 30 April 2010.
Participating institutions may e-mail enquiries regarding the content of the quantitative impact study to qis@bundesbank.de.
Quantitative Impact Study (QIS 5 )
In March 2005, the Basel Committee on Banking Supervision (BCBS) decided to review the calibration of the revised Framework in spring 2006. To ensure that this review is based on most recent and high-quality data, the BCBS announced that it will undertake a further Quantitative Impact Study (QIS 5).
This study will focus on the impact of the new proposals for the recognition of double default effects and changes relating to trading book activities.
In Germany, QIS 5 will be launched on 1 October 2005 and is to be completed by the end of December 2005.
Quantitative Impact Study (QIS 4)
In parallel to the development of the revised Framework, the Basel Committee has already conducted three Quantitative Impact Studies (QIS) in the last few years. Supervisory authorities hope that a fourth Quantitative Impact Study will provide more reliable data on the calibration to unexpected losses, securitisation exposures and the Advanced Measurement Approach (AMA) for operational risk. Furthermore, the new methodological requirements for estimating LGD should be taken into account.
Nine of the G10 countries are currently planning to conduct a QIS 4 before the end of the year. Even in the run-up to the parallel reporting period, this study can provide valuable information for issues that are still under discussion, especially regarding a future need for recalibration. In Germany, QIS 4 will be launched on 1 December 2004 and is to be completed by the end of February 2005.
Trading book quantitative impact study (TBG QIS 4)
A further quantitative impact study will be conducted in order to determine the effect of the summer 2009 modifications to the correlation trading portfolio rules (“Revisions to the Basel II market risk framework”, last updated in July 2009) and to set a possible floor for the capital charge for correlation trading portfolios which is calculated using an internal model.
Trading book quantitative impact study (TBG QIS 3)
In the process of refining capital requirements for market risks, the Basel Committee is conducting quantitative impact studies. The study conducted in summer 2009 under the aegis of the Trading Book Group (TBG) investigated the impact of the provisions of the “Revisions to the Basel II market risk framework” and “Guidelines for computing capital for incremental risk in the trading book” consultation papers published in January 2009, focusing (generally) on big internationally active banks with extensive trading activities.
On the basis of the results of the study, the Basel Committee decided to maintain the original calibration established in the January 2009 consultation paper (in particular, the length of the minimum liquidity horizon as well as the multipliers for unstressed value-at-risk and stressed value-at-risk). At the same time, the Committee decided to conduct a further quantitative impact study in order to determine the effect of the modified correlation trading portfolio rules and to set a possible floor for the capital charge for correlation trading portfolios which is calculated using an internal model.
Loss Data Collection Exercise 2008
Basel Committee on Banking Supervision (BCBS) adopts a loss data collection exercise for operational risk.
In addition to internal data, the loss data collection exercise (LDCE) will also collect information on scenario analyses, external data, business environment and internal control factors (BEICFs) as well as individual aspects of operational risk modelling. The objective of the collection exercise is for national supervisors and institutions alike to gain new insights and further their understanding of the measurement and management of operational risk in different regions. From the first quarter of 2009 onwards, participating institutions will receive a detailed evaluation of their own data for use as a benchmark against other institutions. The Bundesbank and BaFin support the participation of AMA institutions, in particular, in the exercise.
AMA industry survey
In August 2004, in addition to a survey on the choice of approach for calculating the capital charge for operational risk, the Bundesbank and BaFin announced that an AMA industry survey would be carried out.
The aim of the industry action was to gain insight into the status of implementation at individual institutions and to establish and compare the various possible structures as well as the similarities of Advanced Measurement Approaches. The following cross-sectional evaluation summarises the anonymised results of the industry action.
