New PDF release: Capital Adequacy beyond Basel: Banking, Securities, and

By James T. Willerson MD, Jay N. Cohn MD, James T. Willerson, Jay N. Cohn

This booklet is well timed because the Basel Committee on Banking Supervision on the financial institution for foreign Settlements is within the strategy of making significant adjustments within the capital ideas for banks. it is crucial that capital adequacy rules is helping to accomplish monetary balance within the best approach. Capital adequacy principles became a key software to guard monetary associations. The examine contained in the publication covers a few key concerns at stake within the capital specifications for assurance and securities businesses. The participants are one of the best students in monetary economics and legislations. Their contributions examine using subordinated debt, inner types, and ranking corporations as well as reading the impression on capital of reinsurance, securitization, credits derivatives, and comparable tools.

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Additional resources for Capital Adequacy beyond Basel: Banking, Securities, and Insurance

Example text

For foreign exchange (FX) and commodities, no distinction between general and specific risk is made. The FX calculation involves netting exposures in the same currency exposure and taking the maximum of the sum of the net short or long position across currencies. Gold is included in the FX risk calculation, rather than in commodities. The capital charge is then 8% for the overall position. Treatment of Options. Options are required to be marked to market at the end of the trading day using market prices and, importantly, implied volatilities for valuation.

Qualifying subordinated debt must have an original maturity of more than five years and is subject to a cumulative 20% discount for each of its last five years of maturity (BCBS 1988, p. 20). With the Amendment to the Capital Accord for Market Risk, the BCBS expanded the role for subordinated debt by recognizing an additional kind of capital (Tier 3) for the purpose of meeting the capital requirement for market risk. Tier 3 capital is subordinated debt with an original maturity of at least two years.

This affords bank managers some degree of discretion over the recognition of capital gains that can be used to manage earnings (Carey 1993). Loans are reported at the principal amount outstanding, net of unearned income. The main rationale for using accrual accounting rather than fair value accounting is that many bank assets, particularly loans, are not traded in secondary markets, and it is assumed that they will be held to maturity. Although valuing individual loans is often difficult, the bank knows that, on average, some loans will not be fully repaid.

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