1,356,046 research outputs found
The Basle Securitisation Framework Explained: The Regulatory Treatment of Asset Securitisation
No full textThe paper provides a comprehensive overview of the gradual evolution of the supervisory policy adopted by the Basle Committee for the regulatory treatment of asset securitisation. We carefully highlight the pathology of the new “securitisation framework” to facilitate a general understanding of what constitutes the current state of computing adequate capital requirements for securitised credit exposures. Although we incorporate a simplified sensitivity analysis of the varying levels of capital charges depending on the security design of asset securitisation transactions, we do not engage in a profound analysis of the benefits and drawbacks implicated in the new securitisation framework.Banking Regulation, Asset Securitisation, Basle Committee, Basle 2
Proposals for a Needed Adjustment of the VaR-based Market Risk Charge of Basle II
No full textWe analyze around 200 different financial time series, i.e. components of Dow Jones, Nasdaq, FTSE and Nikkei with seven different VaR approaches. We differentiate our analysis according to characteristics that can be observed. Our analysis shows that in high risk situations in which the time series show high volatility risk and high fat tail risk the current Basle II guidelines fail in the attempt to cushion against large losses by higher capital requirements. One of the factors causing this problem is that the builtin positive incentive of the penalty factor resulting from the Basle II backtesting is set too weak. Therefore, we propose adjustments regarding the Basle II penalty factor that take different risk situations into account and lead to higher capital buffers for forecast models with a systematic risk underestimation.Risk evaluation, Value-at-risk, Basle II backtesting, GARCH
THE BASLE COMMITTEE’S PROPOSALS FOR REVISED CAPITAL STANDARDS: RATIONALE, DESIGN AND POSSIBLE INCIDENCE
No full textThe Basle Capital Accord of 1988 was the outcome of an initiative to develop more internationally uniform prudential standards for the capital required for banks´ credit risks. The objectives of the Accord were not only to strengthen the international banking system but also to promote convergence of national capital standards, thus removing competitive inequalities among banks resulting from differences on this front. The key features of this Accord were a common measure of qualifying capital, a common framework for the valuation of bank assets in accordance with their associated credit risks (including those classified as off-balance-sheet), and a minimum level of capital determined by a ratio of 8 per cent of qualifying capital to aggregate risk-weighted assets. The 1988 Basle Agreement was designed to apply to the internationally active banks of member countries of the Basle Committee on Banking Supervision but its impact was rapidly felt more widely and by 1999 it formed part of the regime of prudential regulation not only for international but also for strictly domestic banks in more than 100 countries. From its inception the 1988 Basle Accord was the subject of criticisms directed at features such as its failure to make adequate allowance for the degree of reduction in risk exposure achievable through diversification, at the possibility that it would lead banks to restrict their lending, and at its arbitrary and undiscriminating calibration of certain credit risks. In the aftermath of the East Asian crisis other issues of special interest to developing countries also became a focus of attention: firstly, the Accord´s effectiveness in contributing to financial stability in developing countries; and, secondly, the incentives which the Accord was capable of providing to short-term interbank lending, a significant element of the volatile capital movements perceived as having contributed to the crisis.
The Basle securitisation framework explained: the regulatory treatment of asset securitisation
No full textThe paper provides a comprehensive overview of the gradual evolution of the supervisory policy adopted by the Basle Committee for the regulatory treatment of asset securitisation. We carefully highlight the pathology of the new “securitisation framework” to facilitate a general understanding of what constitutes the current state of computing adequate capital requirements for securitised credit exposures. Although we incorporate a simplified sensitivity analysis of the varying levels of capital charges depending on the security design of asset securitisation transactions, we do not engage in a profound analysis of the benefits and drawbacks implicated in the new securitisation framework. JEL Klassifikation: E58, G21, G24, K23, L51. Forthcoming in Journal of Financial Regulation and Compliance, Vol. 13, No. 1
The Basle securitisation framework explained: the regulatory treatment of asset securitisation : (forthcoming in Journal of Financial Regulation and Compliance, Vol. 13, No. 1)
No full textThe paper provides a comprehensive overview of the gradual evolution of the supervisory policy adopted by the Basle Committee for the regulatory treatment of asset securitisation. We carefully highlight the pathology of the new “securitisation framework” to facilitate a general understanding of what constitutes the current state of computing adequate capital requirements for securitised credit exposures. Although we incorporate a simplified sensitivity analysis of the varying levels of capital charges depending on the security design of asset securitisation transactions, we do not engage in a profound analysis of the benefits and drawbacks implicated in the new securitisation framework. JEL Klassifikation: E58, G21, G24, K23, L51. Forthcoming in Journal of Financial Regulation and Compliance, Vol. 13, No. 1
Capital Requirements for Latin American Banks in Relation to their Market Risks: The Relevance of the Basle 1996 Amendment to Latin America
No full textBanks` market or `trading` risks have increased noticeably over the past years, largely as a result of the growth of liquid assets on banks` balance sheets and the increase in banks` off-balance sheet activities. Well-publicized bank failures and significant capital losses have focussed further attention on these developments. In January 1996, the Basle Committee recommended the imposition of capital charges related to banks` trading risks, and the European Community`s Capital Adequacy Directive (CAD) came into force on January 1st, adopting, in part, the Basle Amendment. The G10 countries are committed to full implementation of these recommendations by the end of 1997. This paper reviews the main features of the Basle Amendment, which allows banks a choice between a `standardized methodology` and the use of their own internal models, subject to the authorization of the relevant supervisor and a set of parameter values. The relevance of this regulation for Latin America is analysed in the light of the region`s characteristics. We suggest that these characteristics increase rather than diminish the importance of the implementation of market risk capital requirements in Latin America.
Bank capital standards for foreign exchange and other market risks
No full textThe Basle Committee on Banking Supervision has proposed methods for incorporating consideration of market risks--exchange rate, interest rate, and equity price risks--into risk-based capital standards for banks. This paper shows that the separate and seemingly different proposed approaches to the three sources of risk are consistent with one another, reflecting a single unifying theme. That theme is the measurement of risk through a weighting of two different measures of portfolio size, the gross position and the net position. A simple theoretical model demonstrates that such an approach can be viewed as a simple (specifically, an affine) approximation to a portfolio variance calculation based on the full variance-covariance matrix of market returns, and thus provides a reasonable basis for a practical approach to capital standards. An empirical test of one part of the framework, the proposal for exchange rate risk, shows that the approximation may be very accurate: the proposed Basle approach captures over 95 percent of the variation in foreign exchange risk across a sample of banks from the Twelfth Federal Reserve District.Bank capital ; Risk ; Foreign exchange
The pharmacological effect of socalled morphine antagonists on the sphincter of Oddi. Manometric studies with daptazole and lorfan.
No full textDiss. Basle
Alveolar echinococcosis in the zoological garden Basle.
No full textAlveolar echinococcosis (AE) is a rare, but potentially severe zoonotic disease caused by Echinococcus (E.) multilocularis. Recent findings indicated an increasing importance of AE for non-human primates living in regions endemic for E. multilocularis. The death of five cynomolgus monkeys (Macaca fascicularis) and a lowland gorilla (Gorilla g. gorilla) due to AE raised concern about the incidence of this parasite in the Basle Zoo. Consequently, a project was initiated to investigate the prevalence amongst an affected group of cynomolgus monkeys, as well as in foxes and mice. Three out of 46 monkeys were seropositive for E. multilocularis antigen. In two of these monkeys and in another three animals, which were seronegative, structures compatible with metacestodal cysts were observed using ultrasonography. Seven out of 35 free roaming foxes caught at the zoo were positive for an intestinal E. multilocularis copro-antigen ELISA, four of them shed taeniid eggs simultaneously. No lesions compatible with AE were present in 50 necropsied mice from the zoo area. These results indicate that the fox population is a potential source to introduce E. multilocularis and may thus represent a risk for the zoo animals
Second International Poliomyelitis Conference -- 1951 -- Poliomyelitis, Conferences/Committees -- letter, 1951-08-21
No full textLetter from Medical Association Basle to Sabin, Albert B. dated 1951-08-21.Sabin Collection Fair Use Policy</a
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