Revisions to the Standardised Approach for Bank Credit Risk Measurement

Journal of International Banking Law and Regulation, Forthcoming

15 Pages Posted: 15 Jan 2016

See all articles by Bart Joosen

Bart Joosen

European Banking Institute; VU University Amsterdam

Date Written: January 14, 2016

Abstract

The Basel III capital accord of 2010 is subject to further evaluation and revisions. The industry refers to these changes as “Basel IV” in view of the expected significant impact that the further proposals of the Basel Committee may have. The Committee itself considers the various proposals as necessary calibration of the existing framework, in order to deal with some of its flaws but rejects that the changes will result in a complete overhaul. In this contribution one of the current proposals, the Revisions to the standardised approach for bank credit risk measurement is discussed from a European perspective. It is concluded that some parts of the Basel Committee proposals are already comprised in the currently applicable Capital Requirements Regulation provisions. Other parts of the proposals, particularly those concerning the risk weighting of residential property loans and commercial real estate loans, will bring important changes to the existing CRR-rules, albeit that these changes are consistent with developments in parallel in European policies.

Keywords: Basel III; Standardised Approach Credit Risk; Banking Supervision

JEL Classification: G20, G21, G28, K23

Suggested Citation

Joosen, Bart, Revisions to the Standardised Approach for Bank Credit Risk Measurement (January 14, 2016). Journal of International Banking Law and Regulation, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2715444

Bart Joosen (Contact Author)

European Banking Institute ( email )

Frankfurt
Germany

HOME PAGE: http://www.ebi-edu.eu

VU University Amsterdam ( email )

De Boelelaan 1105
1081 HV Amsterdam
Netherlands

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
260
Abstract Views
918
rank
143,517
PlumX Metrics