global bank regulation principles and policies the new capital adequacy frameworkbasel ii and other risks精选.pdfVIP

C h a p The New t Capital e Adequacy r 1 Framework: 0 Basel II and Other Risks Traditionally, the most significant risk factor for banks was credit risk. Most bank failures are the result of the inability of bank borrowers to repay in full or on time. However, as we saw in the preceding two chapters, a common criticism of Basel I was that it concentrated almost exclusively on credit risk and ignored other risks that may also threaten a bank’s solvency. Basel II addresses this deficiency by introducing capital requirements for a wider range of risks. It does so in two ways. First, pillar 1 provides an explicit capital charge for market and operational risks in 166 Global Bank Regulation addition to the credit risk capital charge. Second, pillar 2 requires bank management and supervisors to take into account a wide variety of risk factors that are not incor- porated in pillar 1. Whereas pillar 1 addresses a bank’s minimum capital require- ments, pillar 2 considers whether or not actual capital is adequate for the totality of a bank’s risks. In this chapter we first consider how Basel II deals with market and operational risks; then we look at how the so-called pillar 2 risks are incorporated in the frame- work. Market risk refers to the risk of loss due to changes in the level or volatility of market