Basel Handbook

<body stylesrc="../_private/template_title.htm" topmargin="10" leftmargin="10" bgcolor="#FFFFFF" link="#333366" vlink="#000000" alink="#000000"> <div align="left"> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="0" id="table2"> <tr> <td width="780"> <div align="center"> <table border="0" cellpadding="5" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table3"> <tr> <td align="right" height="198" width="1%"> <p align="left"> <img border="0" src="../images/book_ong_michael_(2004).gif" width="133" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" id="table4"> <tr> <td colspan="3" width="0%"> <p class="book_title">The Basel Handbook<br> <font size="3">A Guide for Financial Practitioners</font></td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"><img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> <td width="52%" class="book_details_tags" valign="top" height="144" align="left" rowspan="9"> <map name="FPMap2"> <area href="../main/ratings.htm" shape="rect" coords="73, 0, 162, 33"> </map> <img border="0" src="../images_title/ong_mi56.gif" usemap="#FPMap2" width="163" height="158"></td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" height="32" align="center" width="50%" rowspan="2"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> </table> </td> </tr> </table> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="468" id="table5"> <tr> <td> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </div> <table border="0" cellpadding="5" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table6"> <tr> <td width="50%" valign="top"> <p align="left" class="body"><strong style="font-weight: 400">The new Basle II capital accord for banks imposes enormous organizational and technological challenges on financial institutions. Professionals on the front lines of implementation need guidance on a variety of decisions. Questions abound, and regulators are themselves struggling for answers. To the rescue, Michael Ong delivers this timely edited collection with detailed discussions of the new accord.</strong></p> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="125" align="right" id="table7"> <tr> <td width="5"> </td> <td width="120"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> <p align="left" class="body"><strong style="font-weight: 400">Thirty one contributors have prepared eighteen chapters. These are divided into six sections:</strong></p> <p align="left" class="bullet_line_space"> <img border="0" src="../images/bullet.gif" width="20" height="10">Parameterization of the Internal Ratings-Based Approach</p> <p align="left" class="bullet_line_space"> <img border="0" src="../images/bullet.gif" width="20" height="10">Implementation and Testing of Compliant IRB Systems</p> <p align="left" class="bullet_line_space"> <img border="0" src="../images/bullet.gif" width="20" height="10">Securitizations and retail portfolios</p> <p align="left" class="bullet_line_space"> <img border="0" src="../images/bullet.gif" width="20" height="10">Regulatory Expectations and Disclosure Issues</p> <p align="left" class="bullet_line_space"> <img border="0" src="../images/bullet.gif" width="20" height="10">Implementing the Advanced Measurement Approach for Operational Risk</p> <p align="left" class="bullet_line_space"> <img border="0" src="../images/bullet.gif" width="20" height="10">Loss Database and Insurance</p> <p align="left" class="body">Chapters are sophisticated and highly informative. While each chapter stands alone, collectively, they offer tremendous breadth of coverage. Formulas are used as necessary, but the book is mostly non-technical. </p> <p align="left" class="body">The biggest shortcoming of the book is the lack of any introductory or overview chapters. Right from the start, chapters delve deeply into specific narrowly-defined topics. Along the way, some chapters pause to orient readers, but not all do. If you are new to Basle II or have only passing familiarity with its provisions, you may want to read some introductory materials before proceeding to this book.</p> </td> <td width="50%" valign="top" class="body" rowspan="2"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table8"> <tr> <td width="100%" bgcolor="#333366"> <p class="header_yellow" align="center">Contents</td> </tr> <tr> <td width="100%" class="explanatory_text"> <table border="1" cellpadding="0" cellspacing="5" style="border-collapse: collapse" bordercolor="#CCCCFF" bgcolor="#CCCCFF" width="100%" id="table9"> <tr> <td class="contents_expanded"> <p class="contents_compressed">Introduction </p> <p class="contents_compressed"><b>PARAMETERIZATION OF THE INTERNAL RATINGS-BASED APPROACH </b></p> <p class="contents_compressed">1. Development and Validation of Key Estimates for Capital Models </p> <p class="contents_compressed">2. Explaining the Correlation in Basel II: Derivation and Evaluation </p> <p class="contents_compressed">3. Explaining the Credit Risk Elements in Basel II </p> <p class="contents_compressed">4. Loss Given Default and Recovery Risk: From Basel II Standards to Effective Risk Management Tools </p> <p class="contents_compressed"><b>IMPLEMENTATION AND TESTING OF COMPLIANT IRB SYSTEMS </b></p> <p class="contents_compressed">5. Implementation of an IRB Compliant Rating System </p> <p class="contents_compressed">6. Stress Tests of Banks’ Regulatory Capital Adequacy: Application to Tier 1 Capital </p> <p class="contents_compressed">7. Advanced Credit Model Performance Testing to Meet Basel Requirements </p> <p class="contents_compressed">8. Point-in-Time Versus Through-the-Cycle Ratings </p> <p class="contents_compressed">9. Basel II in the Light of Moody’s KMV Evidence </p> <p class="contents_compressed"><b>SECURITIZATIONS AND RETAIL PORTFOLIOS </b> </p> <p class="contents_compressed">10. Basel II Capital Adequacy Rules for Securitizations and for Retail Exposures </p> <p class="contents_compressed">11. IRB-Compliant Models in Retail Banking </p> <p class="contents_compressed"><b>REGULATORY EXPECTATIONS AND DISCLOSURE ISSUES </b></p> <p class="contents_compressed">12. Regulatory Priorities and Expectations in the Implementation of the IRB Approach </p> <p class="contents_compressed">13. Market Discipline and Appropriate Disclosure in Basel II </p> <p class="contents_compressed"><b>IMPLEMENTING THE ADVANCED MEASUREMENT APPROACH FOR OPERATIONAL RISK </b></p> <p class="contents_compressed">14. Implementing a Basel II Scenario-Based AMA for Operational Risk </p> <p class="contents_compressed">15. Loss Distribution Approach in Practice </p> <p class="contents_compressed">16. An Operational Risk Ratings Model Approach to Better Measurement and Management of Operational Risk </p> <p class="contents_compressed"><b>LOSS DATABASE AND INSURANCE </b></p> <p class="contents_compressed">17. Constructing an Operational Event Database </p> <p class="contents_compressed">18. Insurance and Operational Risk</td> </tr> </table> </td> </tr> </table> <p align="left" class="body">Other than that one caveat, I highly recommend this book. It you are a regulator or practitioner tasked with implementing Basle II, I can't imagine you not reading this book.</p> <p align="center" class="body"> </p> </td> </tr> <tr> <td width="50%" valign="bottom"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table10"> <tr> <td width="100%"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </td> </tr> </table> <div align="left"> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" bgcolor="#FFFFCC" id="table11"> <tr> <td width="100%" align="center"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" bgcolor="#FFFFCC" id="table12"> <tr> <td> <p class="body" style="margin-bottom: 6"><b><font color="#333366" size="3">For related books, see sections:</font></b></p> <p class="bullet" style="margin-top: 4; margin-bottom: 4"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/other_functions_regulation.htm">Other Functions - Regulation</a></p> <p class="bullet" style="margin-top: 4; margin-bottom: 4"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_credit_institutional.htm">Risk Management - Credit (Institutional)</a><p class="bullet" style="margin-top: 4; margin-bottom: 4"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_operational_risk.htm">Risk Management - Operational Risk</a><p class="bullet" style="margin-top: 4; margin-bottom: 4"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_capital_allocation.htm">Risk Management - Capital Allocation</a></td> </tr> </table> </td> </tr> </table> </div> </td> <td>  </td> </tr> </table> </div>  <table border="0" style="border-collapse: collapse" width="100%" cellpadding="0" id="table1" bgcolor="#FFFFFF"> <tr> <td colspan="2" height="12"> <p style="margin-top: 0"> </td> </tr> <tr> <td align="right"> <p align="left" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Ads by Contingency Analysis.</font></a></td> <td align="left"> <p align="right" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Advertise on this site.</font></a></td> </tr> <tr> <td align="center" colspan="2">  <iframe src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=iframe" allowtransparency="true" background-color="transparent" style="margin: 0px; padding: 0px; border-width: 0px" width="300" height="250" frameborder="0" marginwidth="0" marginheight="0" scrolling="no"> <![if lt IE 4]> <script src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=js" type="text/javascript"> </script> <noscript> <a href="http://servedbyadbutler.com/go2/;ID=147917;size=300x250;setID=93136"> <img src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=img" border="0" height="250" width="300" alt=""></a> </noscript><![endif]> </iframe>   </td> </tr> </table> <p align="center" style="margin-top: 20"> <map name="FPMap0_I1"> <area href="http://www.riskbook.com" shape="rect" coords="0, 0, 184, 29" target="_top"></map> <img border="0" src="../images/open_book_riskbook.gif" usemap="#FPMap0_I1" width="185" height="30"></p> <p class="a" align="center"><font face="Arial" size="2"><a href="../main/disclaimer.htm">disclaimer</a></font></p> <p class="a" align="center"><span class="verdana10">website:</span> <a target="_top" href="http://www.contingencyanalysis.com"> <font size="2" face="Arial">http://www.contingencyanalysis.com</font></a><br> <span class="verdana10">books direct link:</span> <a target="_top" href="http://www.riskbook.com"><font size="2" face="Arial">http://www.riskbook.com</font></a><br> copyright <font face="Times New Roman">©</font> Contingency Analysis, 1996 - current</p> <p class="a" align="center"><map name="FPMap1_I1"> <area target="_top" href="http://www.contingencyanalysis.com" shape="rect" coords="0, 0, 240, 88"> </map><img border="0" src="../images/logo_book_white.gif" usemap="#FPMap1_I1" width="241" height="89"></p>  </body>