global bank regulation principles and policies the new capital adequacy frameworkbasel ii and credit risk推荐.pdf

C h a p The New t Capital Adequacy e r Framework: 9 Basel II and Credit Risk The new Basel II capital adequacy framework is designed with the intention of cor- recting some of the most obvious shortcomings of Basel I. The preceding chapter identified three problems: ■ Basel I’s measurement of credit risk was too crude and broad-brush; ■ Basel I was out of date as the result of a decade and a half of financial innova- tion; and 148 Regulation of Global Banking ■ Basel I concentrated on credit risk; i.e., the risk associated with banks’ main assets, but banks are exposed to a variety of other risks that it ignored. In this chapter and the next, we will look at the various ways in which Basel II has attempted to deal with these three main problems. This chapter will look specifically at credit risk, and the next chapter will deal with Basel II’s treatment of other risks, in particular market and operational risk. There are important differences between Basel II and its predecessor. One of the most obvious differences is length. Whereas Basel I ran a little over 25 pages, Basel II is over 10 times that length. While this reflects the highly complex issues with which Basel II tries to grapple, the heft of Basel II has led to criticisms that the Basel Committee has been too detailed and prescriptive in its requirements. A second maj