da Maineri Bruno | Nov 6, 2016 | Parlamento europeo, BRI Basel, Rating interni
Andrea Resti presenta al Parlamento Europeo i risultati di una sua analisi approfondita Su Banks’ internal rating models – time for a change? The “system of floors” as proposed by the Basel Committee
Il commento di Andrea postato su Linkedin : Domattina a Bruxelles per spiegare a Europarl perché Basilea sbaglia ad uccidere i rating interni
Auguri di cuore e buon lavoro a chi si espone per sostenere le proprie idee.
da Maineri Bruno | Ott 8, 2016 | BRI Basel, Basel III
Basel III Monitoring Report | September 2016
The Basel Committee published the results of its latest Basel III monitoring exercise. The Committee established a rigorous reporting process to regularly review the implications of the Basel III standards for banks and it has published the results of previous exercises since 2012.
Data have been provided for a total of 228 banks, comprising 100 large internationally active banks (“Group 1 banks”, defined as internationally active banks that have Tier 1 capital of more than €3 billion) and 128 “Group 2 banks” (ie representative of all other banks).
Scarica il Basel III Monitoring Report | September 2016
da Maineri Bruno | Lug 24, 2016 | BRI Basel, Interest rate risk
Il Comitato di Basilea nel 2015 ha ritenuto opportuna la revisione delle regole dell’IRR 2004, a fronte di un mercato di riferimento indubbiamente cambiato così come le relative regole di vigilanza.
Sono stati pertanto rivisti, sia i principi che i metodi di misurazione, gestione, monitoraggio e controllo dei rischi sui tassi d’interesse (IRR), definendo in questo modo i nuovi standard relativi al rischio di tasso di interesse nel banking book (IRRBB).
Le principali modifiche rispetto all’IRR 2004, riguardano l’introduzione di scenari di shock nei tassi di interesse unitamente alla creazione di modelli comportamentali, che devono essere adotti dalle banche nella misurazione dell’IRRBB. Vengono inoltre definiti requisiti addizionali di trasparenza, al fine di garantire maggior coerenza, trasparenza e confrontabilità, nella misurazione e gestione dell’IRRBB. L’aggiornamento del framework standard, potrà essere imposto dagli organi di vigilanza o scelto dalle banche stesse per la misurazione dell’IRRBB. Inoltre, viene introdotto un livello di soglia più stringente per l’individuazione di Istituti con potenziali anomalie: dal 20% sul totale capitale della banca al 15% sul TIER1.
Tali nuove disposizioni saranno implementate a partire dal 2018.
COMUNICATO STAMPA 21 April 2016
Standards for interest rate risk in the banking book issued by the Basel Committee
Press release
The Basel Committee on Banking Supervision has today issued standards for Interest Rate Risk in the Banking Book (IRRBB). The standards revise the Committee’s 2004 Principles for the management and supervision of interest rate risk, which set out supervisory expectations for banks’ identification, measurement, monitoring and control of IRRBB as well as its supervision.
The key enhancements to the 2004 Principles include:
- More extensive guidance on the expectations for a bank’s IRRBB management process in areas such as the development of shock and stress scenarios as well as key behavioural and modelling assumptions to be considered by banks in their measurement of IRRBB;
- Enhanced disclosure requirements to promote greater consistency, transparency and comparability in the measurement and management of IRRBB. This includes quantitative disclosure requirements based on common interest rate shock scenarios;
- An updated standardised framework, which supervisors could mandate their banks to follow or banks could choose to adopt; and
- A stricter threshold for identifying outlier banks that has been reduced from 20% of a bank’s total capital to 15% of a bank’s Tier 1 capital. In addition, interest rate risk exposure is measured by the maximum change in the economic value of equity under the prescribed interest rate shock scenarios.
The IRRBB standards reflect changes in market and supervisory practices since the Principles were first published in 2004, which is particularly pertinent in light of the current exceptionally low interest rates in many jurisdictions. The revised standards, which were published for consultation in June 2015, are expected to be implemented by 2018.
Per scaricare il Documento della BRI Cliccare su questo link
A cura di Luisella Ravera
