Basel II: A Research Agenda for Banks

Abstract

In June 2004 the Basel Committee on Banking Supervision of the Bank for International Settlements issued its revised framework for the international convergence of capital measurement and capital standards. In developing the framework the Committee has sought to determine risk-sensitive capital requirements that are conceptually sound and which incorporate greater use of assessments of risks provided by bank's internal systems as inputs into capital calculations. The revised framework also provides a range of options for determining the capital requirements for credit risk and operational risk to allow banks and supervisors to select approaches that are most appropriate for their operations and their financial market infrastructure. In this paper we identify a research agenda for banks arising out of the revised capital framework, and set this agenda under the perception that governing boards and senior bank executives intend to move beyond simple issues of regulatory compliance to strategic goals related to maximising return on risk measurement and management activities.

Keywords: Basel II, regulatory capital

JEL Classification: G21