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Faculty of Economics and Applied Economics Basel II: Capital requirements for equity investment portfolios Fabian Suarez, Jan Dhaene, Luc Henrard and Steven Vanduffel DEPARTMENT OF ACCOUNTANCY, FINANCE AND INSURANCE (AFI) AFI 0602 Basel II: Capital Requirements for Equity Investment Portfolios ‡ § ר ▼ Fabian Suarez , Jan Dhaene , Luc Henrard , Steven Vanduffel ‡ Consultant at Fortis Central Risk Management, Montagne du Parc 2, 1000 Brussels, fabian.suarez@actuarisk.be § Professor at K.U.Leuven, Naamsestraat 69, 3000 Leuven, jan.dhaene@econ.kuleuven.be ר Chief Risk Officer at Fortis, Professor at U.C.L. and Université Notre Dame de la Paix (Namur), Rue Royale 20, 1000 Brussels, luc.henrard@ ▼ Researcher at K.U.Leuven and the University of Amsterdam, Naamsestraat 69, 3000 Leuven, steven.vanduffel@econ.kuleuven.be Abstract. The Basel Accords represent landmark financial the minimum requirements set out in the “1988 Accord”, while the agreements for the regulation of commercial banks. The main second and third pillars represent innovative additions to capital purpose of the accords was to strengthen the soundness and supervision: stability of the international banking system by providing a minimum standard for capital requirements. In