March 2002
Intermediate to advanced
176 pages
3h 48m
English
book
Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
by Jean Dermine, Youssef F. Bissada
Content preview from Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
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The Basel II capital adequacy regulation
The minimum amount of capital required by regulators will be calculated as follows:
Minimum capital ≥ 8% × risk-weighted assets (RWA)
This is similar to Basel I. What is new is that the risk-weighted assets will include a revised measure of credit risk. Moreover, they will also include a measure of operational risk. The capital charge for trading risk will be identical to that of Basel I.
The two components of bank capital discussed in Stage 6, Tier 1 and Tier 2, remain unchanged. It is not that central banks were totally satisfied with this complex definition of capital, but rather that they were busy ...
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