II.2 Techniques and other Supervisory Tools - Asociación de Supervisores Bancarios de las Américas

Elements of Effective Macroprudential Policies

(Anonymous) — Mon, 02 Jan 2017 18:31:14 +0000

Responding to an existing G20 mandate, this joint work reports on the experiences gained so far regarding elements and practices that can be useful for effective macroprudential policy making. The above since experience with macroprudential policy is growing: For instance, a large number of countries have put in place dedicated institutional arrangements, thus progress is being made with the design and implementation of macroprudential tools, as well as an increasing body of empirical research is available that is aimed at evaluating the effectiveness of those policies.

Guidelines for Identifying and Dealing with Weak Banks

(Anonymous) — Tue, 30 Jun 2015 23:24:31 +0000

Weak banks are a worldwide phenomenon. Supervisors should be ready to deal with them. This report provides a toolkit offering practical guidelines in the areas of problem identification, corrective action, resolution techniques and exit strategies. The target audience of this report is the supervisory community, the resolution community and international financial institutions advising supervisors.

Basel Capital Framework National Discretions

(Anonymous) — Sat, 01 Nov 2014 05:23:12 +0000

The Basel capital framework contains a number of national discretions to allow the standards to be implemented differently by authorities in different jurisdictions. This can be useful when differences in the structure and development of financial systems warrant different approaches. In practice, however, the Committee recognises that the use of national discretions can also impair the comparability of implementation across jurisdictions, particularly if supervisors do not implement them with the same conservatism. This was highlighted by three recent studies on the variation of risk-weighted assets in the banking book and trading book.

The G-SIB Assessment Methodology - Score Calculation

(Anonymous) — Fri, 31 Oct 2014 17:21:43 +0000

Following the global financial crisis, there has been renewed scrutiny on the impact that the failure of large financial institutions could have on the broader financial system. The interconnected nature of today’s global systemically important banks (G-SIBs) has contributed to a system where the potential failure of a single large institution can have wider effects that reverberate throughout the global economy. This in turn has led to the Basel III reforms, spearheaded by the Basel Committee on Banking Supervision (BCBS), which aim to improve the resiliency of banks and banking systems. Over and above the higher requirements for all internationally active banks, the Committee’s G-SIB standards require additional going-concern loss absorbency for G-SIBs.

Principles for Effective Supervisory Colleges

(Anonymous) — Sun, 01 Jun 2014 05:20:01 +0000

A series of key initiatives have been undertaken with regard to the reform of international financial regulation and supervision. In particular, supervisors have taken steps to enhance the supervision of global systemically important banks (G-SIBs). Effective supervisory colleges play a key role in such enhanced supervision. Supervisory colleges can enhance information-sharing among supervisors, help the development of a common understanding of risk in financial groups, promote a shared agenda for addressing risks and vulnerabilities, and provide a platform for communicating key supervisory messages among college members.

Sound Practices of a Sound Capital Planning Process

(Anonymous) — Tue, 31 Dec 2013 14:18:00 +0000

An important lesson from the financial crisis concerned the need for banking organisations (“banks”) to strengthen their capital planning processes. Some of the observed weaknesses reflected banks’ processes that were not sufficiently comprehensive, appropriately forward-looking or adequately formalised. As a result, some management teams underestimated the risks inherent in their banks’ business strategies and, in turn, misjudged capital needs.

Updated Methodology for Basel III Regulatory Consistency Assessment Program

(Anonymous) — Tue, 01 Oct 2013 11:16:25 +0000

A key component of the Basel Committee’s work agenda is to ensure strong regulatory regimes and effective supervisory systems across its member jurisdictions. Public confidence in prudential ratios, resilient banks and a level regulatory playing field for internationally active banks cannot be assured without consistency in the adoption and implementation of the Basel standards. The lessons of the recent financial crisis have underscored the need for full, timely and consistent implementation of the standards.

Monitoring Tools for Intraday Liquidity Management

(Anonymous) — Mon, 01 Apr 2013 11:14:29 +0000

Management of intraday liquidity risk forms a key element of a bank’s overall liquidity risk management framework. In September 2008, the Basel Committee on Banking Supervision (BCBS)1 published its Principles for Sound Liquidity Risk Management and Supervision (the Sound Principles), which provide guidance for banks on their management of liquidity risk and collateral.

Principles for Effective Risk Data Aggregation and Risk Reporting

(Anonymous) — Tue, 01 Jan 2013 11:12:59 +0000

One of the most significant lessons learned from the global financial crisis that began in 2007 was that banks’ information technology (IT) and data architectures were inadequate to support the broad management of financial risks. Many banks lacked the ability to aggregate risk exposures and identify concentrations quickly and accurately at the bank group level, across business lines and between legal entities. Some banks were unable to manage their risks properly because of weak risk data aggregation capabilities and risk reporting practices. This had severe consequences to the banks themselves and to the stability of the financial system as a whole.

Basel III The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools

(Anonymous) — Tue, 01 Jan 2013 11:11:13 +0000

This document presents one of the Basel Committee’s key reforms to develop a more resilient banking sector: the Liquidity Coverage Ratio (LCR). The objective of the LCR is to promote the short-term resilience of the liquidity risk profile of banks. It does this by ensuring that banks have an adequate stock of unencumbered high-quality liquid assets (HQLA) that can be converted easily and immediately in private markets into cash to meet their liquidity needs for a 30 calendar day liquidity stress scenario. The LCR will improve the banking sector’s ability to absorb shocks arising from financial and economic stress, whatever the source, thus reducing the risk of spillover from the financial sector to the real economy. This document sets out the LCR standard and timelines for its implementation.

The Proposed Revised Ratings-Based Approach

(Anonymous) — Tue, 01 Jan 2013 09:39:51 +0000

This technical paper describes the assumptions and methodology underlying the Revised Ratings-Based Approach (RRBA) as proposed in the Basel Committee’s recent consultative paper “Revisions to the Basel Securitisation Framework.”1 The RRBA is calibrated to approximate tranche capital charges generated by the Modified Supervisory Formula Approach (MSFA) under the assumption that an external credit rating is a proxy for the tranche’s expected loss rate (EL). Given an assumed risk profile for an underlying homogeneous pool of exposures (‘pool’) -- characterised by maturity, probability of default (PD), loss given default (LGD), and asset value correlation (AVC) -- a stylised EL-based credit rating model consistent with the MSFA is used to infer attachment and detachment points for hypothetical tranches having various ratings, seniorities and, for non-senior tranches, thicknesses. With these variables as inputs, the MSFA is used to estimate implied tranche capital charges. The RRBA is then calibrated to approximate the relationship between MSFA capital charges and a tranche’s rating, seniority, maturity, and thickness.

Foundations of the Proposed Modified Supervisory Formula Approach

(Anonymous) — Mon, 31 Dec 2012 05:29:45 +0000

This technical paper describes the modelling framework underlying the Modified Supervisory Formula Approach (MSFA) as proposed in the Basel Committee’s recent consultative paper “Revisions to the Basel Securitisation Framework.” In contrast to the current Basel securitisation framework’s Supervisory Formula Approach (SFA), which assumes a one-year maturity for the underlying pool of securitised loans (‘pool’), the MSFA is based on an underlying Expected Shortfall, Mark-to-Market (MtM) framework for setting regulatory capital. This MtM underpinning, along with other key assumptions, is intended to render the MSFA more consistent with the Basel’s Internal Ratings-Based (IRB) framework for wholesale exposures.

Core Principles for Effective Banking Supervision

(Anonymous) — Sat, 01 Sep 2012 11:09:24 +0000

The Core Principles for Effective Banking Supervision (Core Principles) are the de facto minimum standard for sound prudential regulation and supervision of banks and banking systems. Originally issued by the Basel Committee on Banking Supervision (the Committee)1 in 1997, they are used by countries as a benchmark for assessing the quality of their supervisory systems and for identifying future work to achieve a baseline level of sound supervisory practices. The Core Principles are also used by the International Monetary Fund (IMF) and the World Bank, in the context of the Financial Sector Assessment Programme (FSAP), to assess the effectiveness of countries’ banking supervisory systems and practices.

Compensation Principles and Standards Assessment Methodology

(Anonymous) — Fri, 01 May 2009 11:07:40 +0000

This assessment methodology aims to guide supervisors in reviewing individual firms’ compensation practices and assessing their compliance with the FSB Principles for Sound Compensation Practices (“the Principles”) and their implementation standards (“the Standards”). The objective is to foster supervisory approaches that are effective in promoting sound compensation practices at significant financial firms and help support a level playing field.

Principles for Sound Stress Testing Practices & Supervision

(Anonymous) — Fri, 01 May 2009 05:04:01 +0000

The depth and duration of the financial crisis has led many banks and supervisory authorities to question whether stress testing practices were sufficient prior to the crisis and whether they were adequate to cope with rapidly changing circumstances. In particular, not only was the crisis far more severe in many respects than was indicated by banks' stress testing results, but it was possibly compounded by weaknesses in stress testing practices in reaction to the unfolding events. Even as the crisis is not over yet there are already lessons for banks and supervisors emerging from this episode.

Core Principles Methodology

(Anonymous) — Sun, 01 Oct 2006 10:05:50 +0000

The Core Principles for Effective Banking Supervision, developed by the Basel Committee on Banking Supervision (the Committee) in cooperation with fellow supervisors, have become de facto the standard for sound prudential regulation and supervision of banks. The Core Principles are mainly intended to help countries assess the quality of their systems and to provide input into their reform agenda. The vast majority of countries have endorsed the Core Principles and have declared their intention to implement them.

High Level Principles for Business Continuity

(Anonymous) — Mon, 31 Jul 2006 17:26:06 +0000

A site held in readiness for use during a business continuity event to maintain an organisation’s business continuity. The term applies equally to work space or technology requirements. Organisations may have more than one alternate site. In some cases, an alternate site may involve facilities that are used for normal day-to-day operations but which are able to accommodate additional business functions when a primary location becomes inoperable. Examples of alternate sites include relocation and disaster recovery sites, whether managed directly or maintained by a third party for an organisation’s exclusive use or for use by multiple organisations.