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Impact Assessment Methodology

  • Ioannis Akkizidis
  • Lampros Kalyvas
Chapter

Abstract

The current chapter describes the formulae that quantify the impact of the transition from the current to the final Basel III framework. First, it presents the core regulatory ratios that banks need to comply with their minimum capital requirements, that is, the risk-based capital ratio and the leverage ratio. Then, it presents the typology for assessing the impact of the implementation of the final Basel III framework, at the level of the minimum required capital. It also suggests the formulation for the evaluation of the capital shortfall that the new framework implies, assuming that the current actual regulatory capital is entirely assigned to Pillar I capital requirements.

References

  1. Basel Committee on Banking Supervision. (2006, June). Basel II: International convergence of capital measurement and capital standards: A revised framework – comprehensive version. Retrieved December 2016, from http://www.bis.org/publ/bcbs128.pdf
  2. Basel Committee on Banking Supervision. (2011, June). Basel III: A global regulatory framework for more resilient banks and banking systems – revised version. Retrieved December 2016, from http://www.bis.org/publ/bcbs189.pdf
  3. Basel Committee on Banking Supervision (BCBS). (2015, July). Review of the Credit Valuation Adjustment (CVA) risk framework – consultative document. Retrieved July 2015, from http://www.bis.org/bcbs/publ/d325.pdf
  4. Basel Committee on Banking Supervision (BCBS). (2016a, January). Minimum capital requirements for market risk – Standards. Retrieved January 2016, from http://www.bis.org/bcbs/publ/d352.pdf
  5. Basel Committee on Banking Supervision (BCBS). (2016d, April). Revisions to the Basel III leverage ratio framework – consultative document. Retrieved March 2016, from http://www.bis.org/bcbs/publ/d365.pdf
  6. Basel Committee on Banking Supervision (BCBS). (2017a, June). Simplified alternative to the standardised approach to market risk capital requirements – consultative document. Retrieved June 2017, from http://www.bis.org/bcbs/publ/d408.pdf.
  7. Basel Committee on Banking Supervision (BCBS). (2017b, June). Basel III monitoring report. Retrieved September 2017, from https://www.bis.org/bcbs/publ/d416.pdf
  8. Basel Committee on Banking Supervision (BCBS). (2017c, December). Basel III: Finalising post-crisis reforms – Standards. Retrieved December 7, 2017, from https://www.bis.org/bcbs/publ/d424.pdf

Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Ioannis Akkizidis
    • 1
  • Lampros Kalyvas
    • 2
  1. 1.Employed by Wolters KluwerZurichSwitzerland
  2. 2.Employed by European Banking AuthorityLondonUK

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