Credit, Money and Macroeconomic Policy
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Credit, Money and Macroeconomic Policy

A Post-Keynesian Approach

Edited by Claude Gnos and Louis-Philippe Rochon

With recent turmoil in financial markets around the world, this unique and up-to-date book addresses a number of challenging issues regarding monetary policy, financial markets and macroeconomic policy.
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Chapter 10: Implications of Basel II for National Development Banks

Rogério Sobreira and Patricia Zendron


Rogério Sobreira and Patricia Zendron INTRODUCTION The New Basel Capital Accord aims to increase risk sensitivity for capital adequacy requirements and to create incentives for the implementation and development of effective risk-management systems. The aim of the Basel Committee was to establish a stronger relationship between economic risks perceived by banks and regulatory risks considered in the Basel Accord (BCBS, 1988). There is a general agreement that the resulting New Basel Accord is an improvement when compared to the risk profile of the 1988 Basel Accord. Five ‘Quantitative Impact Studies’ were conducted by the Basel Committee in order to gather information concerning expected impacts, especially on capital requirements in this new framework. In October 2002, the Committee launched a comprehensive field test for banks, referred to as the third quantitative impact study, or QIS3. It represented a significant step in the Committee’s efforts to develop the Basel II Framework. The study focused on the impact of the Basel II proposals on minimum capital requirements and is one of the best for evaluating the expected impact of Basel II: The QIS3 results for the Standardized approach show some increases in capital requirements relative to current for all the country groupings. In the Foundation IRB [internal ratings-based] approach, Group 1 banks on average report only small changes to current requirements, but the results show substantial reductions for G10 and EU Group 2 banks (which are more retail orientated on average). In the Advanced IRB approach, all the groups of banks report...

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