851:, wrote an article in September 2009 outlining some of the strategic responses which the Committee should take as response to the crisis. He proposed a stronger regulatory framework which comprises five key components: (a) better quality of regulatory capital, (b) better liquidity management and supervision, (c) better risk management and supervision including enhanced Pillar 2 guidelines, (d) enhanced Pillar 3 disclosures related to securitization, off-balance sheet exposures and trading activities which would promote transparency, and (e) cross-border supervisory cooperation. Given one of the major factors which drove the crisis was the evaporation of liquidity in the financial markets, the BCBS also published principles for better liquidity management and supervision in September 2008.
771:
banks can operate in the marketplace with little or no capital. And governments and deposit insurers end up holding the bag, bearing much of the risk and cost of failure. History shows this problem is very real ... as we saw with the U.S. banking and S & L crisis in the late 1980s and 1990s. The final bill for inadequate capital regulation can be very heavy. In short, regulators can't leave capital decisions totally to the banks. We wouldn't be doing our jobs or serving the public interest if we did.
701:) approved a final rule implementing the advanced approaches of the Basel II Capital Accord. This rule establishes regulatory and supervisory expectations for credit risk, through the Internal Ratings Based Approach (IRB), and operational risk, through the Advanced Measurement Approach (AMA), and articulates enhanced standards for the supervisory review of capital adequacy and public disclosures for the largest U.S. banks.
905:
859:
innovation designed to circumvent regulatory requirements and shifts banks' focus away from their core economic functions. Tighter capital requirements based on risk-weighted assets, introduced in the Basel III, may further contribute to these skewed incentives. New liquidity regulation, notwithstanding its good intentions, is another likely candidate to increase bank incentives to exploit regulation.
710:
process for the banking institutions that are implementing the new advanced capital adequacy framework (known as Basel II). The final guidance, relating to the supervisory review, is aimed at helping banking institutions meet certain qualification requirements in the advanced approaches rule, which took effect on April 1, 2008.
742:
One of the most difficult aspects of implementing an international agreement is the need to accommodate differing cultures, varying structural models, complexities of public policy, and existing regulation. Banks' senior management will determine corporate strategy, as well as the country in which to
630:
These disclosures are required to be made at least twice a year, except qualitative disclosures providing a summary of the general risk management objectives and policies which can be made annually. Institutions are also required to create a formal policy on what will be disclosed and controls around
563:
As the Basel II recommendations are phased in by the banking industry it will move from standardised requirements to more refined and specific requirements that have been developed for each risk category by each bank. The upside for banks that do develop their bespoke risk measurement systems is that
802:
According to the draft guidelines published by RBI the capital ratios are set to become: Common Equity as 5% + 2.5% (Capital
Conservation Buffer) + 0–2.5% (Counter Cyclical Buffer), 7% of Tier 1 capital and minimum capital adequacy ratio (excluding Capital Conservation Buffer) of 9% of Risk Weighted
746:
To assist banks operating with multiple reporting requirements for different regulators according to geographic location, there are several software applications available. These include capital calculation engines and extend to automated reporting solutions which include the reports required under
720:
A series of proposals to enhance the Basel II framework was announced by the Basel
Committee in January 2009. The proposals included: revisions to the Basel II market risk framework; the guidelines for computing capital for incremental risk in the trading book; and proposed enhancements to the Basel
770:
There are strong reasons for believing that banks left to their own devices would maintain less capital—not more—than would be prudent. The fact is, banks do benefit from implicit and explicit government safety nets. Investing in a bank is perceived as a safe bet. Without proper capital regulation,
626:
When market participants have a sufficient understanding of a bank's activities and the controls it has in place to manage its exposures, they are better able to distinguish between banking organizations so that they can reward those that manage their risks prudently and penalize those that do not.
858:
study suggest that bank regulation based on the Basel accords encourage unconventional business practices and contributed to or even reinforced adverse systemic shocks that materialised during the financial crisis. According to the study, capital regulation based on risk-weighted assets encourages
684:
On July 4, 2006, the committee released a comprehensive version of the Accord, incorporating the June 2004 Basel II Framework, the elements of the 1988 Accord that were not revised during the Basel II process, the 1996 Amendment to the
Capital Accord to Incorporate Market Risks, and the November
709:
On July 16, 2008 the federal banking and thrift agencies (the Board of
Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation, the Office of the Comptroller of the Currency, and the Office of Thrift Supervision) issued a final guidance outlining the supervisory review
728:
enhanced the three pillars of the Basel II framework and strengthened the 1996 rules governing trading book capital was issued in July 2009 by the newly expanded Basel
Committee. These measures included revisions to the Basel II market-risk framework and the guidelines for computing capital for
832:
The role of Basel II, both before and after the global financial crisis, has been discussed widely. While some argue that the crisis demonstrated weaknesses in the framework, others have criticized it for actually increasing the effect of the crisis. In response to the financial crisis, the
622:
supplements regulation as sharing of information facilitates the assessment of the bank by others, including investors, analysts, customers, other banks, and rating agencies, which leads to good corporate governance. The aim of Pillar 3 is to allow market discipline to operate by requiring
379:
framework, to determine the minimum capital that banks should hold to guard against the financial and operational risks. The regulations aimed to ensure that the more significant the risk a bank is exposed to, the greater the amount of capital the bank needs to hold to safeguard its
623:
institutions to disclose details on the scope of application, capital, risk exposures, risk assessment processes, and the capital adequacy of the institution. It must be consistent with how the senior management, including the board, assess and manage the risks of the institution.
729:
incremental risk in the trading book. In addition, capital requirements for trading book securitisation exposures were aligned with those in the banking book. A further consultation was launched in
December 2009 which resulted in further updates in 2010.
488:
accord dealt with only parts of each of these pillars. For example: concerning the first Basel II pillar, only one risk, credit risk, was dealt with easily while the market risk was an afterthought; operational risk was not dealt with at all.
392:
for the risk the bank exposes itself to through its lending, investment and trading activities. One focus was to maintain sufficient consistency of regulations so to limit competitive inequality amongst internationally active banks.
615:
This pillar aims to complement the minimum capital requirements and supervisory review process by developing a set of disclosure requirements which will allow the market participants to gauge the capital adequacy of an institution.
798:
Existing RBI norms for banks in India (as of
September 2010): Common equity (incl of buffer): 3.6% (Buffer Basel 2 requirement requirements are zero); Tier 1 requirement: 6%. Total Capital: 9% of risk-weighted assets.
685:
2005 paper on Basel II: International
Convergence of Capital Measurement and Capital Standards: A Revised Framework. No new elements have been introduced in this compilation. This version is now the current version.
1611:
631:
them along with the validation and frequency of these disclosures. In general, the disclosures under Pillar 3 apply to the top consolidated level of the banking group to which the Basel II framework applies.
841:. The Committee claimed that the new standards would lead to a better quality of capital, increased coverage of risk for capital market activities and better liquidity standards among other benefits.
866:
have also argued that
European legislators have pushed dogmatically and naively for the adoption of the Basel II recommendations, adopted in 2005, transposed in European Union law through the
795:
has implemented the Basel II standardized norms on 31 March 2009 and is moving to internal ratings in credit and AMA (Advanced
Measurement Approach) norms for operational risks in banks.
1232:"Implementation of the new capital adequacy framework in non-Basel Committee member countries: Summary of responses to the 2006 follow-up Questionnaire on Basel II implementation"
780:
Regulators in most jurisdictions around the world plan to implement the new accord, but with widely varying timelines and use of the varying methodologies being restricted. The
404:
was negotiated, the crisis was top of mind and accordingly more stringent standards were contemplated and quickly adopted in some key countries including in Europe and the US.
564:
they will be rewarded with potentially lower risk capital requirements. In the future, there will be closer links between the concepts of economic and regulatory capital.
1319:
653:
201:
885:
pointed out, that a global financial and economic crisis will come, because of its systemic dependencies on a few rating agencies. After the breakout of the crisis
1424:
179:
1445:
672:
On November 15, 2005, the committee released a revised version of the Accord, incorporating changes to the calculations for market risk and the treatment of
1217:
821:
1504:
Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework, Comprehensive Version (BCBS) (June 2006 Revision)
664:) announced their revised plans for the U.S. implementation of the Basel II accord. This delays implementation of the accord for US banks by 12 months.
694:
649:
344:
84:
943:
817:
and many European banks already report their capital adequacy ratios according to the new system. All the credit institutions adopted it by 2008–09.
1535:
645:
541:
262:
1280:
1249:
848:
834:
743:
base a particular type of business, based in part on how Basel II is ultimately interpreted by various countries' legislatures and regulators.
365:
228:
79:
44:
759:
657:
1545:
803:
Assets. Thus the actual capital requirement is between 11 and 13.5% (including Capital Conservation Buffer and Counter Cyclical Buffer).
1186:
890:
518:
223:
174:
1064:"OCC: Agencies Issue Final Guidance on Supervisory Review Process (Pillar 2) Related to Implementation of Basel II Advanced Approaches"
870:(CRD), effective since 2008. In essence, they forced private banks, central banks, and bank regulators to rely more on assessments of
1602:
DanĂelsson, JĂłn. "The Emperor Has No Clothes: Limits to Risk Modelling." Journal of Banking and Finance, 2002, 26, pp. 1273–96.
1499:
Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS) (November 2005 Revision)
397:
1592:
1606:
1579:
1516:
Agencies Issue Final Guidance on Supervisory Review Process (Pillar 2) Related to Implementation of Basel II Advanced Approaches
698:
497:
The first pillar deals with maintenance of regulatory capital calculated for three major components of risk that a bank faces:
788:
the Internal Ratings-Based approach for the largest banks, and the standardized approach will be available for smaller banks.
867:
863:
814:
375:
The Basel II Accord was published in June 2004. It was a new framework for international banking standards, superseding the
807:
545:
337:
320:
267:
1008:
661:
874:
by private rating agencies. Thus, part of the regulatory authority was abdicated in favour of private rating agencies.
235:
453:
While the final accord has at large addressed the regulatory arbitrage issue, there are still areas where regulatory
1052:
International Convergence of Capital Measurement and Capital Standards: A Revised Framework: Comprehensive Version
1029:
1146:
537:
330:
257:
211:
74:
69:
984:
604:, which the accord combines under the title of residual risk. Banks can review their risk management system.
1494:
Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS)
1515:
1063:
810:(FSI), 95 national regulators indicated they were to implement Basel II, in some form or another, by 2015.
956:
147:
1601:
1532:
1385:
1288:
792:
1256:
1174:
878:
607:
The Internal Capital Adequacy Assessment Process (ICAAP) is a result of Pillar 2 of Basel II accords.
446:
766:
explained in June 2007 the purpose of capital adequacy requirements for banks, such as the accord:
676:
effects. These changes had been flagged well in advance, as part of a paper released in July 2005.
470:
454:
417:
196:
142:
1030:
FRB Press Release: Banking Agencies Announce Revised Plan for Implementation of Basel II Framework
581:
585:
1584:
1432:
517:
component can be calculated in three different ways of varying degree of sophistication, namely
1567:
1626:
1557:
1428:
1211:
1118:
882:
619:
593:
576:
better 'tools' over those previously available. It also provides a framework for dealing with
478:
1193:
1371:
752:
533:
502:
458:
435:
424:
389:
285:
252:
1041:
International Convergence of Capital Measurement and Capital Standards: A Revised Framework
748:
1596:
1539:
1398:
1131:
573:
474:
385:
126:
113:
108:
1462:
The Financial Crisis Inquiry Report, Official Government Edition, Washington 2011, S XXV.
445:
Attempting to align economic and regulatory capital more closely to reduce the scope for
1471:
The Financial Crisis Inquiry Report, Official Government Edition, Washington 2011, S 20.
1163:
1589:
886:
673:
597:
589:
522:
384:
and overall economic stability. Basel II attempted to accomplish this by establishing
290:
184:
162:
157:
1331:
423:
Enhancing disclosure requirements which would allow market participants to assess the
1620:
951:
781:
577:
556:
361:
49:
1562:
910:
844:
526:
189:
117:
1411:
M. Nicolas J. Firzli, "A Critique of the Basel Committee on Banking Supervision"
1350:"Principles for Sound Liquidity Risk Management and Supervision – final document"
1080:
1563:
Return of capital adequacy ratio (final version) – Completion instructions, HKMA
1332:"Global Financial Crisis - What caused it and how the world responded - Canstar"
923:
871:
763:
552:
544:
or TSA, and the internal measurement approach (an advanced form of which is the
514:
506:
498:
439:
431:
311:
218:
169:
1520:
17:
1110:
1016:
900:
601:
295:
1376:
1370:. OECD Economics Department Working Papers. OECD Publishing. December 2011.
1367:
838:
401:
369:
152:
64:
1303:"The Basel Committee's response to the financial crisis: report to the G20"
364:, which are recommendations on banking laws and regulations issued by the
1231:
918:
381:
485:
376:
104:
54:
1503:
1498:
1493:
1349:
1302:
1051:
1040:
1488:
1250:"Information Paper: Implementation of the Basel II Capital Framework"
1092:
509:. Other risks are not considered fully quantifiable at this stage.
813:
The European Union has already implemented the Accord via the EU
1446:"Alan Greenspan: "Die Ratingagenturen Wissen nicht was sie tun""
1368:"Systemically Important Banks and Capital Regulation Challenges"
855:
784:' various regulators have agreed on a final approach. They have
122:
396:
Basel II was implemented in 2008 in most major economies. The
388:
and capital management requirements to ensure that a bank has
245:
240:
1558:
Validating Risk Rating Systems under the IRB Approaches, HKMA
400:
intervened before Basel II could become fully effective. As
1320:
Beyond the Crisis: the Basel Committee's strategic response
572:
This is a regulatory response to the first pillar, giving
1510:
Office of the Comptroller of the Currency (United States)
1444:
Frankfurter Allgemeine Zeitung GmbH (22 September 2007).
824:, implemented the Basel II Framework on 1 January 2008.
1590:
FRB Boston paper on measurement of operational risk
1281:"How New Banking Rules Could Deepen the U.S Crisis"
1093:"Basel II: Revised international capital framework"
442:
are quantified based on data and formal techniques;
529:. IRB stands for "Internal Rating-Based Approach".
1585:Coherent measures of risk (a widely quoted paper)
1489:Basel II: Revised international capital framework
368:. It is now extended and partially superseded by
1568:Return Templates of capital Adequacy Ratio, HKMA
1546:EU Directive implementing the new Basel 2 Accord
654:Board of Governors of the Federal Reserve System
1081:Revisions to the Basel II market risk framework
806:In response to a questionnaire released by the
493:The first pillar: Minimum capital requirements
469:Basel II uses a "three pillars" concept – (1)
889:agreed to this opinion in 2007. At least the
837:published revised global standards, known as
568:The second pillar: Supervisory review process
338:
8:
36:International regulatory standards for banks
1111:https://www.bis.org/bcbs/publ/d457_note.pdf
993:This final rule is effective April 1, 2008.
877:Long before the implementation of Basel II
822:Australian Prudential Regulation Authority
345:
331:
29:
1612:A Nontechnical Analysis of Basel I and II
1607:Canada Capital Adequacy Requirements OSFI
1375:
695:Office of the Comptroller of the Currency
650:Office of the Comptroller of the Currency
536:, there are three different approaches –
1483:Bank for International Settlements (BIS)
934:
303:
277:
134:
96:
32:
1533:Capital Requirements Directive/Basel 2
1427:Nr. 1, 1999. Munich, St. Gallen 1999,
1394:
1383:
1216:: CS1 maint: archived copy as title (
1209:
1127:
1116:
893:confirmed this point of view in 2011.
835:Basel Committee on Banking Supervision
724:A final package of measures, known as
465:The accord in operation: Three pillars
366:Basel Committee on Banking Supervision
45:Basel Committee on Banking Supervision
1003:
1001:
979:
977:
760:Federal Deposit Insurance Corporation
658:Federal Deposit Insurance Corporation
7:
985:"OCC Approves Basel II Capital Rule"
1552:Hong Kong Monetary Authority (HKMA)
611:The third pillar: Market discipline
1521:OCC Approves Basel II Capital Rule
1009:"Basel II – questions and answers"
25:
1425:Strategische Unternehmensfuehrung
1175:FRB: Press Release, June 26, 2008
1164:OCC Notice of Proposed Rulemaking
1580:An academic response to Basel II
1147:"FDIC: Speeches & Testimony"
903:
644:On September 30, 2005, the four
1415:, Nov. 10, 2011, & Q2 2012
891:Financial Crisis Inquiry Report
815:Capital Requirements Directives
699:U.S. Department of the Treasury
555:the preferred approach is VaR (
868:Capital Requirements Directive
1:
942:Yetis, Ahmet (January 2008).
808:Financial Stability Institute
546:advanced measurement approach
398:financial crisis of 2007–2008
321:Business and Economics Portal
864:World Pensions Council (WPC)
662:Office of Thrift Supervision
471:minimum capital requirements
278:Pillar 2: Supervisory review
135:Pillar 1: Regulatory capital
27:Banking regulation framework
412:The final version aims at:
304:Pillar 3: Market disclosure
1643:
847:, former Chairman of the
738:International consistency
693:On November 1, 2007, the
1413:Revue Analyse Financière
955:. London. Archived from
862:Think-tanks such as the
538:basic indicator approach
1377:10.1787/5kg0ps8cq8q6-en
828:Global financial crisis
820:Australia, through its
776:Implementation progress
473:(addressing risk), (2)
420:is more risk-sensitive;
1393:Cite journal requires
944:"Regulators in Accord"
648:banking agencies (the
457:will diverge from the
793:Reserve Bank of India
640:September 2005 update
635:Chronological updates
542:standardized approach
519:standardized approach
360:is the second of the
689:November 2007 update
668:November 2005 update
455:capital requirements
447:regulatory arbitrage
143:Capital requirement
1595:2008-03-17 at the
1538:2017-11-22 at the
758:For example, U.S.
586:concentration risk
475:supervisory review
427:of an institution;
418:capital allocation
1126:Missing or empty
991:. November 2007.
883:Martin H. Wiggers
620:Market discipline
594:reputational risk
479:market discipline
355:
354:
37:
16:(Redirected from
1634:
1472:
1469:
1463:
1460:
1454:
1453:
1441:
1435:
1422:
1416:
1409:
1403:
1402:
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1391:
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1381:
1379:
1364:
1358:
1357:
1346:
1340:
1339:
1328:
1322:
1317:
1311:
1310:
1299:
1293:
1292:
1287:. Archived from
1277:
1271:
1270:
1268:
1267:
1261:
1255:. Archived from
1254:
1246:
1240:
1239:
1228:
1222:
1221:
1215:
1207:
1205:
1204:
1198:
1192:. Archived from
1191:
1183:
1177:
1172:
1166:
1161:
1155:
1154:
1142:
1136:
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1129:
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1078:
1072:
1071:
1060:
1054:
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1032:
1027:
1021:
1020:
1015:. Archived from
1005:
996:
995:
981:
972:
971:
969:
967:
962:on April 2, 2015
961:
948:
939:
913:
908:
907:
906:
879:George W. Stroke
705:July 2008 update
680:July 2006 update
534:operational risk
503:operational risk
459:economic capital
436:operational risk
425:capital adequacy
390:adequate capital
347:
340:
333:
286:Economic capital
253:Operational risk
35:
33:Basel Framework
30:
21:
1642:
1641:
1637:
1636:
1635:
1633:
1632:
1631:
1617:
1616:
1597:Wayback Machine
1540:Wayback Machine
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1419:
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1406:
1392:
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1347:
1343:
1338:. 22 June 2018.
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1248:
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1225:
1208:
1202:
1200:
1196:
1189:
1187:"Archived copy"
1185:
1184:
1180:
1173:
1169:
1162:
1158:
1144:
1143:
1139:
1125:
1115:
1109:
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570:
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467:
410:
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127:Risk management
114:Monetary policy
34:
28:
23:
22:
18:Basel II Accord
15:
12:
11:
5:
1640:
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1604:
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1478:External links
1476:
1474:
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1455:
1436:
1417:
1404:
1395:|journal=
1359:
1341:
1336:canstar.com.au
1323:
1312:
1294:
1291:on 2011-11-17.
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1241:
1223:
1178:
1167:
1156:
1137:
1102:
1084:
1073:
1055:
1044:
1033:
1022:
1019:on 2011-12-14.
997:
973:
933:
931:
928:
927:
926:
921:
915:
914:
898:
895:
887:Alan Greenspan
829:
826:
777:
774:
773:
772:
739:
736:
734:
733:Implementation
731:
721:II framework.
715:
712:
706:
703:
690:
687:
681:
678:
674:double default
669:
666:
641:
638:
636:
633:
612:
609:
598:liquidity risk
590:strategic risk
569:
566:
561:
560:
549:
530:
523:Foundation IRB
494:
491:
466:
463:
451:
450:
443:
430:Ensuring that
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416:Ensuring that
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353:
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291:Liquidity risk
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153:Leverage ratio
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111:
99:
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94:
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1386:cite journal
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1289:the original
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582:pension risk
571:
562:
527:Advanced IRB
496:
483:
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411:
395:
374:
357:
356:
263:Standardized
224:Standardized
118:Central bank
59:
924:Solvency II
872:credit risk
764:Sheila Bair
553:market risk
515:credit risk
507:market risk
499:credit risk
440:market risk
432:credit risk
219:Market risk
170:Credit risk
1266:2011-09-27
1203:2012-01-20
1013:cml.org.uk
930:References
791:In India,
726:Basel 2.5,
660:, and the
646:US Federal
602:legal risk
574:regulators
312:Disclosure
296:Legal risk
109:Regulation
97:Background
1433:1436-5812
966:March 30,
854:A recent
839:Basel III
714:Basel 2.5
408:Objective
402:Basel III
370:Basel III
65:Basel III
1627:Basel II
1621:Category
1593:Archived
1536:Archived
1212:cite web
1151:fdic.gov
1119:cite web
919:Basel IA
897:See also
786:required
548:or AMA).
540:or BIA,
477:and (3)
382:solvency
358:Basel II
60:Basel II
1450:FAZ.NET
1354:Bis.org
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1236:Bis.org
1097:bis.org
1068:occ.gov
989:occ.gov
486:Basel I
377:Basel I
236:CVA vol
105:Banking
85:Endgame
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1574:Others
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762:Chair
753:FINREP
656:, the
652:, the
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246:SA-CVA
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163:Tier 2
158:Tier 1
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749:COREP
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1429:ISSN
1399:help
1218:link
1132:help
968:2015
881:and
856:OECD
849:BCBS
600:and
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532:For
513:The
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438:and
386:risk
123:Risk
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