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| Links,
Speeches, and Background Readings |
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| Speeches |
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The
Bond Market Association: 2003 Legal and Compliance
Conference. Remarks by William J. McDonough,
President and Chief Executive Officer of the
Federal Reserve Bank of New York. New York City,
February 4, 2003. (download
74 kb PDF)
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"Issues
in Corporate Governance." Remarks by William
J. McDonough, President and Chief Executive
Officer of the Federal Reserve Bank of New York.The
William Taylor Memorial Lecture, Washington,
D.C., September 29, 2002. (download
40 kb PDF)
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"Completing
the Journey to the New Basel Accord." Remarks
by William J. McDonough, President and Chief
Executive Officer of the Federal Reserve Bank
of New York. Cape Town, South Africa, September
18, 2002. (download
52 kb PDF)
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"Toward
Greater Financial Stability." Remarks by
William J. McDonough, President and Chief Executive
Officer of the Federal Reserve Bank of New York.
Bangkok, Thailand, February 5, 2001. (view
text of remarks)
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"The
New Basel Capital Proposal."
Remarks by Governor Laurence H. Meyer, Federal
Reserve Bank of Philadelphia. Annual Washington
Conference of the Institute of International
Bankers, Washington, D.C., March 5, 2001. (view
text of remarks)
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"The
Role of Financial Stability." Remarks by
William J. McDonough, President and Chief Executive
Officer of the Federal Reserve Bank of New York.
XIII International Frankfurt Banking Evening,
Frankfurt, Germany, May 3, 2001. (download
52 kb PDF)
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"Consumer
Risk and the Basel II Proposal." Remarks
by Michael E. Collins, Senior Vice President,
Federal Reserve Bank of Philadelphia. 6th Annual
Consumer Risk Management Conference, Philadelphia,
June 11, 2001. (download
376 kb PDF)
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| Background
Readings |
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Secretariat
of the Basel Committee on Banking Supervision.
"The New Basel Accord: An Explanatory Note"
(download 72
kb PDF)
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Risk
Management Association. "Changes in Bank
Capital Standards: What All banks Must Know
About Basel" (download
100 kb PDF)
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Kenneth
Carling, Tor Jacobson, Jesper Lindé,
Kasper Rosbach, “Capital Charges under
Basel II: Corporate Credit Risk Modelling and
the Macro Economy”, Sveriges Riksbank,
September 2002 (download
1.55 Mb PDF)
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Jose
A. Lopez, “The Empirical Relationship between
Average Asset Correlation, Firm Probability
of Default and Asset Size”, Federal Reserve
Bank of San Francisco, June 2002 (download
427 kb PDF)
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Mark
Carey, “A Guide to Choosing Absolute Bank
Capital Requirements”, Board of Governors
of the Federal Reserve System, International
Finance Discussion Papers, Number 726, May 2002
(download 74 kb PDF)
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David
Stone, “Repeating the Advantages of Basel
II, Zions Bancorporation, Operational Risk, Volume
3, Issue 9, September 2002
(download 126 kb PDF)
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Jeremy
Staum, “Pricing and Hedging in Incomplete
Markets: Fundamental Theorems and Robust Utility
Maximization”, National Science Foundation,
November 2002
(download 314 kb PDF)
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Andrew
Kuritzkes, Til Schuermann, Scott M. Weiner,
“Risk Measurement, Risk Management and
Capital Adequacy in Financial Conglomerates”,
Netherlands-United States Roundtable on Financial
Conglomerates, Washington, DC, October 2002
(download 486 kb PDF)
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Stijn
Claessens, “Benefits and Costs of Integrated
Financial Services Provision in Developing Countries”,
University in Amsterdam and CEPR, November 2002
(download 344 kb PDF) |
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John
Krainer and Jose A. Lopez, “Incorporating
Equity Market Information into Supervisory Monitoring
Models”, Federal Reserve Bank of San Francisco,
June 2002 (download 419
kb PDF) |
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“Risk
Management Principles for Electronic Banking”,
Basel Committee for Banking Supervision, May 2001
(download 149 kb PDF) |
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Winfrid
Blaschke, Matthew T. Jones, Giovanni Majnoni,
Soledad Martinez Peria, “Stress Testing of
Financial Systems: An Overview of Issues, Methodologies,
and FSAP Experiences”, International Monetary
Fund, 2001 (download 2.18
Mb PDF) |
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“Operational
Risk”, Consultative Document, Supporting
Document to the New Basel Capital Accord, Bank
of International Settlements, January 2001 (download
185 kb PDF) |
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Beverly
J. Hirtle, Mark Levonian, Marc Saidenberg, Stefan
Walter, David Wright, “Using Credit Risk
Models for Regulatory Capital: Issues and Options”,
FRBNY Economic Policy Review, March 2001 (download
197 kb PDF) |
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Andrea
Sironi, Cristiano Zazzara, “The New Basel
Accord: Possible Implications for Itaian Banks”,
September 23, 2001 (download
367 kb PDF) |
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“Range
of Practice in Banks’ Internal Ratings Systems”,
Basel Committee on Banking Supervision, January
2000 (download 171 kb PDF) |
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“Bank
Capital Regulation in Contemporary Banking Theory:
A Review of the Literature”, BIS Working
Paper No 90, September 2000 (download
175 kb PDF) |
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“Best
Practices for Credit Risk Disclosure”, Basel
Committee on Banking Supervision, September 2000
(download 88 kb PDF) |
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“Credit
Ratings and Complementary Sources of Credit Quality
Information”, Basel Committee on Banking
Supervision, Working Paper No. 3, August 2000
(download 864 kb PDF) |
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Mark
Carey, “Dimensions of Credit Risk and Their
Relationship to Economic Capital Requirements”,
Federal Reserve Board, March 2000 (download
169 kb PDF) |
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“Sound
Practices for Managing Liquidity in Banking Organizations”,
Basel Committee on Banking Supervision, February
2000 (download 174 kb PDF) |
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Chris
Matten, “Risk and Capital Management –
An Overview”, Australian Prudential Regulatory
Authority, 1999 (download
74 kb PDF) |
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Elmer
Funke Kupper, “Risk Management in Banking”,
Australian Prudential Regulatory Authority, 1999
(download 92 kb PDF) |
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Tim
Jenkins, “Risk and Insurance Sector”,
Australian Prudential Regulatory Authority, 1999
(download 142 kb PDF) |
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Andre
Morony, “Managing Risk in the Funds Management
Sector”, Australian Prudential Regulatory
Authority, 1999 (download
70 kb PDF) |
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Tony
Carlton, “Risk and Capital Management in
Non-Financial Companies”, Australian Prudential
Regulatory Authority, 1999 (download
112 kb PDF) |
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Patrick
Edwards, “Managing Risk and Capital in Financial
Conglomerates”, Australian Prudential Regulatory
Authority, 1999 (download
75 kb PDF) |
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Graeme
Thomson and Brian Gray, “Supervising Financial
Institutions and Conglomerates”, Australian
Prudential Regulatory Authority, 1999 (download
62 kb PDF) |
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“Principles
for the Management of Credit Risk”, Consultative
paper issues by the Basel Committee on Banking
Supervision, July 1999 (download
137 kb PDF) |
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“Sound
Practices for Loan Accounting and Disclosure”,
Basel Committee on Banking Supervision, July 1999
(download 166 kb PDF) |
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Patricia
Jackson, William Perraudin, “Regulatory Implications
of Credit Risk Modelling”, Bank of England,
Birkbeck College, June 1999 (download
47 kb PDF) |
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“A
New Capital Adequacy Framework”, Basel Committee
on Banking Supervision, June 1999 (download
211 kb PDF) |
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Jurg
Blum, “Do Capital Adequacy Requirements Reduce
Risks in Banking?”, Journal of Banking and
Finance, July 1998 (download
144 kb PDF) |
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David
Jones and John Mingo, “Industry Practices
in Credit Risk Modeling and Internal Capital Allocations:
Implications for a Models Based Regulatory Capital
Standard”, October 1998 (download
69 kb PDF) |
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Richard
Spillenkoten, Director, “Sound Credit Risk
Management and the Use of Internal Credit Risk
Ratings at Large Banking Organizations”,
Board of Governors of the Federal Reserve System,
September 1998 (download
34 kb PDF) |
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Tito
Cordella and Eduardo Levy Yeyati, “Public
Disclosure and Bank Failures”, International
Monetary Staff, 1998 (download
1.2 Mb PDF) |
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“Operational
Risk Management”, Basel Committee on Banking
Supervision, September 1998 (download
36 kb PDF) |
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Steven
R. Grenadier, Brian J. Hall, “Risk-Based
Capital Standards and the Riskiness of Bank Portfolios:
Credit and Factor Risks”, National Bureau
of Economic Research, Working Paper No. 5178,
July 1995 (download 1.9
Mb PDF) |
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Robert
C. Merton, “Financial Innovation and the
Management and Regulation of Financial Institutions”,
National Bureau of Economic Research, Working
Paper No. 5096, April 1995 (download
1.6 Mb PDF) |
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