The Basel Handbook: A Guide for Financial Practitioners - Ong

Through trial and error, the three pillars have evolved and some of the original ideas have proved to be impractical. This popular handbook methodically identifies the fundamental changes and recent additions to Basel II, such as increased flexibility, risk sensitivity and new OpRisk capital charge. It provides a clear rationale for the revised accord and even covers those elements that are still excluded such as liquidity risk, reputational risk and legal risk.

You are presented with a unique opportunity to learn about every possible consequence of the Basel Accord from global thought leaders and fellow practitioners such as Michael Pykhtin, Steven Zhu, Ashish Dev and Scott D. Aguais amongst many others. You will find yourself referring to this essential handbook on a daily basis and find its clear guidelines essential for rolling out and implementing all systems affected by the Accord's various regulations.

Looking at the challenges banks face in complying with the new requirements of Basel II, this invaluable title quantifies the potential downstream impact of Basel II on the financial industry. In addition it assesses the degree of constraint the proposals are likely to impose on business and highlights the profound implications of Basel II on rating agencies, financial industry, global and local competition, and costs and capital.

This book is essential reading for any financial practitioner affected by the Basel II accord, including chief financial officers, chief operating officers, chief investment officers, risk managers, credit risk managers, senior compliance officers, and also those working in the fields of operational risk, compliance, regulation, credit, and risk management.

  • Level: Basic+
  • Major Topics: T16, T38
  • Minor Topics: T27, T31, T32, T35, T36, T41, T46


Online Resources


Table of Contents

Section 1: Parameterisation of the Internal Ratings-Based Approach
1. Development and Validation of Key Estimates for Capital Models
2. Correlation in Basel II: Derivation and Evaluation
3. Explaining the Credit Risk Elements in Basel II
4. Loss Given Default and Recovery Risk: From Basel II Standards to Effective Risk Management Tools
5. Assessing the Validity of Basel II Models in Measuring Risk of Credit Portfolios
6. Measuring Counterparty Credit Risk for Trading Products under Basel II

Section 2: Implementation and Testing of Compliant IRB Systems
7. Implementation of an IRB Compliant Rating System
8. Stress Tests of Banks' Regulatory Capital Adequacy: Application to Tier 1 Capital and to Pillar 2 Stress Tests
9. Advanced Credit Model Performance Testing to Meet Basel Requirements: How Things Have Changed!
10. Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework
11. Basel II in the Light of Moody's KMV Evidence
12. Dynamics of Rating Systems - TTC versus PIT
13. Rating and PD Validation

Section 3: Securitisations and Retail Portfolios
14. Basel II Capital Adequacy Rules for Retail Exposures
15. IRB-Compliant Models in Retail Banking
16. Basel II Capital Adequacy Rules for Securitizations
17. Securitization Issues and Recent Resolutions in Basel II

Section 4: Regulatory Expectations and Disclosure Issues
18. Regulatory Priorities and Expectations in the Implementation of the IRB Approach
19. Market Discipline and Appropriate Disclosure in Basel II
20. Validation of Banks' Internal Rating Systems - A Supervisory Perspective
21. Rebalancing the Three Pillars of Basel II

Section 5: Implementing the Advanced Measurement Approach for Operational Risk
22. Implementing a Basel II Scenario-Based AMA for Operational Risk
23. Loss Distribution Approach in Practice
24. An Operational Risk Ratings Model Approach to Better Measurement and Management of Operational Risk

Section 6: Loss Database and Insurance
25. Constructing an Operational Event Database
26. Insurance and Operational Riskā€¦read more