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Your time-saving route to ERisk's Basle II news and analysis.

ERisk has been following the Bank for International Settlements' proposals for a revision of bank capital adequacy regulation -- Basle II -- since last year, helping to spot trends and identify the key issues. As well as exclusive features and news from our own reporters, we've provided a forum for industry experts to discuss the proposals through our iConference series and in opinion pieces.

We've gathered those resources on this page to provide you with easy access to our coverage. Here you can read and hear expert comment, track down key industry-wide resources - and join in!

• Basle II: Links to latest developments
• ERisk's Introduction to Basle II
• The Credit Risk Proposals
• The Operational Risk Proposals
• Other Resources from the Internet

The links below were updated August 1, 2002.

BASLE COMMITTEE UPDATES
Basle Committee reaches agreement on new Capital Accord issues, 10 July 2002,
Revised timetable: As of July 2002, the Committee believes the next Quantitative Impact Study (QIS3) will be launched in October; results should be in by end 2002; updated consultative paper to be published in second quarter of 2003; finalised New Accord by end 2003; implementation of New Accord (though probably not by all adopting countries) by year-end 2006.
Substantive changes: The Committee reaffirmed the importance of the revised 'standardised approach' to capital adequacy, likely to be used by the majority of banks worldwide. It also said it would 'streamline' (ie reduce) the amount of risk data banks would have to disclose; approved the creation of a new risk-weight curve in the internal-ratings based (IRB) approach to capital adequacy to provide a more risk-sensitive treatment of retail exposures such as credit card exposures; said that while major banks using the most advanced IRB approaches will need to take account of a loan's remaining maturity, supervisors may exempt smaller domestic borrowers from this; approved new elements of the IRB and standardised approach to ensure appropriate treatment of small- and medium-sized enterprises; reaffirmed a Pillar One (ie capital) treatment for operational risk, but recognised the need for flexibility in the development of advanced measurement approaches; narrowed the gap between the amount of capital required in the foundation and advanced IRB approaches; agreed to move to a single overall 'floor requirement' in the phasing in of the new Accord; suggested that concerns that the IRB approach would worsen economic cycles (by restricting credit in downturns) might be addressed by ensuring that 'meaningfully conservative credit risk stress testing by banks' is included in the IRB approaches.
Progress toward completion of the new Basel Capital Accord, 13 December 2001
In this progress report the Committee admits that it has changed its tactics, and will now try to quantitatively assess the impact of the next almost final version of the consultative paper before that paper is officially published. This will delay the publication of the paper, originally planned for very early in 2002. But the Committee reaffirms its original intention to produce the final rules for the revision of the Accord by end 2002, with implementation in 2005, and says it has now set up a new Accord Implementation Group.
Summary of QIS 2 Results, 5 November
This link offers the results of the Committees initial attempt to assess the quantitative impact of the proposed changes to the Basle capital accord, and explains how the results have led to certain proposed alterations in the new rules. Theres also news and details about the follow-up QIS 2.5 data gathering exercise, published 6 December.
Basle Committee newsletter update, No. 2, 21 September
General summary of progress on credit risk mitigation including some key developments: dropping of w factor concept, more consistent treatment of collateral in repo market and elsewhere, new ideas on master netting arrangements and repos, and risk weighting of OECD public sector entities.
ISDA welcomes w climbdown here; mixed IIF response here

LATEST KEY PAPERS
Sound Practices for the Management and Supervision of Operational Risk, 31 July 2002 (update of December 2001 consultative paper on qualitative principles underlying financial institution operational risk management)
Results of Quantitative Impact Study 2.5, 1 July 2002
This QIS study focused on the effect of the IRB proposals, and showed that, on average across the banks sampled, the credit risk capital requirements for the core portfolios (ie corporate, sovereign, interbank and retail) would decline relative to the Current Accord.
Operational Risk Data Collection Exercise 2002, 4 June 2002
Basel II: An Economic Assessment, May 2002
Series of Basle II-related papers from BIS conference, PDFs available.
The Quantitative Impact Study for Operational Risk: Overview of Individual Loss Data and Lessons Learned, January 2002
Working Paper on the Treatment of Asset Allocations, 12 October 2001
Working Paper on the Internal Ratings-Based Approach to Specialised Lending Exposures, 5 October 2001
Working paper on the Regulatory Treatment of Operational Risk, 28 September 2001
Working paper on Pillar 3 Market Discipline, 28 September 2001
Papers upcoming soon include the results of the quantitative impact study (QIS), and operational risk best practices

IMPLEMENTATION SURVEY
Feedback on Survey of Banks' Preparation for the New Basle Capital Accord
Domenic Carratu, Adsatis, September 2001
This informal survey of some 25 UK and European banks says the more advanced will begin detailed implementation of Basle II between early 2002 and end 2003, though many smaller banks have not developed a plan and few banks have worked out budgets. Data gathering and management will be the largest single element of work, and demand for the Advanced IRB approach will be strong.

ERISK INVESTIGATES
W is Dead, But No Closure on Disclosure
Last updated: October 5, 2001
At the end of September, the Basle Committee on Banking Supervision signalled some key concessions on its proposed reform of bank regulation and capital charges. ERisk takes the temperature of industry reaction to the climbdowns on the treatment of credit mitigation, operational risk charges, and disclosure in this analysis of the current state of play in Basle reform.
(PDF download)

ERISK INVESTIGATES
Basel II Draws a Mixed Response
Rob Jameson, ERisk, June 2001
The comment period for the Basle II proposals on bank capital adequacy closed on May 31, attracting more than 200 responses from associations, institutions, agencies and individuals. This ERisk analysis looks at the strong opinions and home truths contained within the official industry reaction, and takes readers direct to selected key papers.

ERISK INVESTIGATES
Basle Poker Game Heats Up (PDF download, 418KB)
Rob Jameson, ERisk, April 2001
Not sure what your position is on the new Basle II capital adequacy proposals? Don't have time to read 541 pages and canvass your peers before the May 31 deadline? Our round-up will get you up to speed on all the key issues and put everything into perspective.

ERISK INVESTIGATES
Disagreement Over New Basle Accord
Duncan Wood, ERisk, January 2001
This ERisk analysis explores some of the fundamental arguments over how to regulate banks in light of the Basle II proposals. It may be market-friendly, but is it actually a good idea to link regulatory capital to banks' estimates of economic risk?