9. Basel II Presentation
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Basel II has three pillars and aims to better align capital requirements with risks. Pillar 1 updates minimum capital requirements to use more risk-sensitive approaches for credit, market, and operational risk. Pillar 2 requires banks and supervisors to review risk management and capital adequacy. Pillar 3 promotes market discipline through disclosure. Vietnam is implementing Basel II in phases, with the goal of fully adopting the three pillar framework by 2018 to strengthen its banking system.
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JAMES OKARIMIA BASEL II - PILLAR 1 ANALYTICS - Covering Credit,Market,and ...
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9. Basel II Presentation
- 1. TABLE OF CONTENT 3 pillarsinbaselii motivesfor baselII ApplicationinVIetnam
- 2. 1. Motives for basel ii Problems with Basel I (1988) • Club-rules (OECD) isn’t meaningful in terms of riskiness • Capital Requirement: One size fits all • Inadequate recognition of advanced CRM such as CDS/securitization Objectives • Eliminate regulatory arbitrage by getting RWA right • Provide banks incentives to enhance risk management
- 3. 1. Motives for basel II Text Text Text Text Text Liquidity Risk Reputation Risk Credit Risk Market Risk Operational Risk
- 4. 2. Three pillars in basel II
- 5. Basel I (1988) Basel II (2004) Pillar(s) Minimum Capital Requirement (one for all) - Minimum K requirement - Supervisory Review - Market discipline & disclosure (more flexible) Risk(s) Credit Risk Credit Risk (SA, FIRB, AIRB) * SA: based on type of entity, credit rating (S&P, Moody, Fitch) * FIRB: uses loss probability model, prescribed LGD * AIRB: uses loss probability model and LGD model Operational Risk (BIA, SA, AMA) * BIA: α * Gross Rev. * SA: β * Gross Rev./Unit Line * AMA: measured by its own system Market Risk (SA, Internal VaR Model) * VaR is preferred, stress test and scenario analysis RWA(s) 0~100%, OECD is more preferred 0~150% or more, no exclusive rights Tier 2 K is limited to 100% of Tier 1 K CAR = 𝑇𝑜𝑡𝑎𝑙 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝐶𝑟𝑑𝑖𝑡 𝑟𝑖𝑠𝑘 𝑅𝑊𝐴+𝑀𝐾 𝑟𝑖𝑠𝑘 𝑅𝑊𝐴 >=8% = 𝑇𝑜𝑡𝑎𝑙 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝐶𝑟𝑑𝑖𝑡 𝑟𝑖𝑠𝑘 𝑅𝑊𝐴+12.5%∗ 𝑀𝐾 𝑟𝑖𝑠𝑘 𝑅𝑊𝐴+12.5%∗ 𝑂𝑝𝑒𝑟𝑎𝑡𝑖𝑜𝑛𝑎𝑙 𝑅𝑖𝑠𝑘 𝑅𝑊𝐴 >=8 % * Simple measure for credit risk * Not risk sensitive * No measure for operational risk * Significant changes to measure credit risk basel I vs. basel II
- 6. Pillar 1: Minimum capital requirement • 𝐶𝐴𝑅 = 𝑇𝑜𝑡𝑎𝑙 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝐶𝑟𝑒𝑑𝑖𝑡 𝑟𝑖𝑠𝑘 𝑅𝑊𝐴+12.5%∗ (𝑀𝐾 𝑟𝑖𝑠𝑘 𝑅𝑊𝐴+𝑂𝑝𝑒𝑟𝑎𝑡𝑖𝑜𝑛𝑎𝑙 𝑅𝑖𝑠𝑘 𝑅𝑊𝐴) 8% Total Capital: Tier 1 Capital • Common shareholder equity • Disclosed Reserves • Non-cumulative perpetual preferred stocks Tier 2 & 3 Capital • Tier 2 cannot exceed 100% tier 1 • Subordinated debts • General loans loss reserves • Hybrid debt-equity capital instruments
- 7. Pillar 1: Credit risk Credit Risk: • SA - Based on external credit rating - Apply fixed risk weighting • IRB (FIRB, AIRB) • CRM (CDS, Securitization)
- 8. Pillar 1: Market risk
- 9. Pillar 1: Operational risk
- 10. IN VIETNAM Regulatory Framework BASEL II Implementation
- 11. 1. Regulatory framework 2005 2014 Decree 457/2005 CAR: 8% (except for foreign bank branches) Circular 13/2010: CAR: 9% (all) Updated Circular 36/2014
- 12. 1. Regulatory framework CAR >= 9%
- 13. 2. BASEL II Implementation Credit Risk Awareness Lending activities: 90% Bad debt ratio is pretty high Phase 1: 2013 -2015 Phase 2: 2016 - 2018