Basel

  • News

    S&P: EU Bonds Way Riskier Than 2007-Vintage Securitizations

    Unlike mortgage-backed securities, supranational political entities simply cannot have this many sub-prime components and expect to keep its triple-A rating, according to S&P’s flawless debt-rating system.

    / Dec 20, 2013 at 4:37 PM
  • This assumes for no particular reason that everyone should have a 10% capital ratio, and then looks at percentage point changes from that ratio if you normalized the risk weighting.

    News

    Some Banks Think Some Borrowers Are Riskier Than Other Banks Think They Are

    It’s become fashionable to make fun of the Basel risk-based capital rules for being overly complicated and subject to gamesmanship. “Why should we risk-weight assets at all?” people ask, for some reason. “Just look at simple leverage and assume that all assets are equally risky!” Sure okay. The problems with treating all risks the same […]

    / Jul 8, 2013 at 5:38 PM
  • Basel, where these things notionally come from.

    News

    Relatively Simple Basel Leverage Rules Still Pretty Complicated

    If you think bank regulation should be made much simpler it’s probably worth reading today’s Basel Committee document on bank leverage ratios, which the chairman of the Basel Committe described as “a relatively simple measure.” And what could be simpler than regulating leverage ratios?1 It’s just, like: tot up all your assets, including all your […]

    / Jun 26, 2013 at 5:03 PM
  • Figure 5, first panel. Y axis is ratio of trading RWAs to total trading assets: lower numbers suggest umm more aggressive RWA practices, *maybe*. X axis is "a crude proxy for reliance on internal models for calculating mRWA," as opposed to using standardized approaches. Higher numbers = more use of internal models.

    News

    Banks’ Risk Measurements Rarely Off By Much More Than A Factor Of Ten

    Banks are opaque, or so I hear, and so the only way many people can stand to be around them is if they can have some sort of number to serve as a flashlight into all that opacity. One of the big numbers is Basel III risk-weighted assets, which are intended to, as the name […]

    / Jan 31, 2013 at 10:24 AM
  • News

    Vikram Pandit Wants To Crowdsource Bank Risk Management

    A thing you might want is for investors to be able to understand the financial situation of the companies they invest in. Traditionally, that is a thing that many people want, anyway.* Much of our system of corporate finance is dedicated to that and it mostly works okay. A place where it breaks down a […]

    / Jan 11, 2012 at 2:07 PM
  • Banks, News

    What We Talk About When We Talk About Bank Capital

    Boy, those new Fed regulations, they are long. They have lots of things. Like stress tests, and liquidity buffers, and the thing where you can’t have credit exposure of more than 10% of your regulatory capital to one bank.* But the thing that they mostly have are capital requirements, which are kind of not that […]

    / Dec 21, 2011 at 4:27 PM
  • News

    Maybe Banks Should Be Rewarded For Making More Bad Loans?

    Ooh look a chart: That’s from this quite punchy paper by Patrick Slovik of the economics department at the OECD. It shows you that, in 1992, big banks had risk-weighted assets, which determine how much capital they’re required to have, of over 65% of their total assets, which measures how much lending and investing and […]

    / Dec 14, 2011 at 3:26 PM

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