The New Basel Accord and Questions for Research

Wharton Financial Institutions Center Working Paper No. 03-14

35 Pages Posted: 11 Jun 2003

Date Written: May 2003

Abstract

The New Basel Accord for bank capital regulation is designed to better align regulatory capital to the underlying risks by encouraging better and more systematic risk management practices, especially in the area of credit risk. We provide an overview of the objectives, analytical foundations and main features of the Accord and then open the door to some research questions provoked by the Accord. We see these questions falling into three groups: What is the impact of the proposal on the global banking system through possible changes in bank behavior; a set of issues around risk analytics such as model validation, correlations and portfolio aggregation, operational risk metrics and relevant summary statistics of a bank's risk profile; issues brought about by Pillar 2 (supervisory review) and Pillar 3 (public disclosure).

Keywords: Bank capital regulation, risk management, credit risk, operational risk

JEL Classification: G21, G28

Suggested Citation

Saidenberg, Marc R. and Schuermann, Til, The New Basel Accord and Questions for Research (May 2003). Wharton Financial Institutions Center Working Paper No. 03-14. Available at SSRN: https://ssrn.com/abstract=410322 or http://dx.doi.org/10.2139/ssrn.410322

Marc R. Saidenberg

affiliation not provided to SSRN

No Address Available

Til Schuermann (Contact Author)

Oliver Wyman ( email )

1166 6th Avenue
New York City, NY
United States

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