The New Basel Capital Accord and Questions for Research

Marc Saidenberg, Til Schuermann and May

Center for Financial Institutions Working Papers from Wharton School Center for Financial Institutions, University of Pennsylvania

Abstract: The New Basel Accord for bank capital regulation is designed to better align regulatory capital to the underlying risks by encouraging better and more systematic risk management practices, especially in the area of credit risk. We provide an overview of the objectives, analytical foundations and main features of the Accord and then open the door to some research questions provoked by the Accord. We see these questions falling into three groups: what is the impact of the proposal on the global banking system through possible changes in bank behavior; a set of issues around risk analytics such as model validation, correlations and portfolio aggregation, operational risk metrics and relevant summary statistics of a bank’s risk profile; issues brought about by Pillar 2 (supervisory review) and Pillar 3 (public disclosure).

Keywords: Bank capital regulation; risk management; credit risk; operational risk (search for similar items in EconPapers)
JEL-codes: G21 G28 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-cfn, nep-fin and nep-rmg
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Citations: View citations in EconPapers (5)

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