http://www.bis.org/list/bcbs_wp/from_01012010/index.rss Working Papers by the Basel Committee on Banking Supervision (BCBS). 2010 to 2014 en http://www.bis.org/bcbs/publ/wp27.htm BCBS Working Papers No 27, November 2014. This Working Paper assesses the potential impact and implementation challenges of specific standards issued by the Basel Committee in the context of emerging market, developing and small economies. Additionally, it outlines practical steps that can be taken by authorities in these jurisdictions to implement global standards and enhance their supervisory approaches. Impact and implementation challenges of the Basel framework for emerging market, developing and small economies 2014-11-14T15:51:00Z This Working Paper assesses the potential impact and implementation challenges of specific standards issued by the Basel Committee in the context of emerging market, developing and small economies. Additionally, it outlines practical steps that can be taken by authorities in these jurisdictions to implement global standards and enhance their supervisory approaches. Impact and implementation challenges of the Basel framework for emerging market, developing and small economies 2014-11-14T15:51:00Z BIS emerging markets Home host cooperation EMDE PDF version http://www.bis.org/bcbs/publ/wp27.pdf November 2014 Bank for International Settlements: BCBS Working Papers 27 http://www.bis.org/publ/bcbs_wp26.htm BCBS Working Papers No 26, August 2014. The Committee prepared this technical paper to explain the different modelling assumptions that were used in developing the standardised approach for measuring counterparty credit risk exposures (SA-CCR). The final standard was published in March 2014 (revised April 2014). Foundations of the standardised approach for measuring counterparty credit risk exposures 2014-08-28T08:40:00Z The Committee prepared this technical paper to explain the different modelling assumptions that were used in developing the standardised approach for measuring counterparty credit risk exposures (SA-CCR). The final standard was published in March 2014 (revised April 2014). Foundations of the standardised approach for measuring counterparty credit risk exposures 2014-08-28T08:40:00Z BIS PDF version http://www.bis.org/publ/bcbs_wp26.pdf August 2014 Bank for International Settlements: BCBS Working Papers 26 http://www.bis.org/publ/bcbs_wp25.pdf Abstract of the BCBS Working Paper "Literature review of factors relating to liquidity stress - extended version" (Basel Committee Working Paper No 25) - October 2013 Literature review of factors relating to liquidity stress - extended version 2013-10-23T13:01:00Z 132 kb Literature review of factors relating to liquidity stress - extended version 2013-10-23T13:01:00Z BIS liquidity Stress testing October 2013 Bank for International Settlements: BCBS Working Papers 25 http://www.bis.org/publ/bcbs_wp24.htm Abstract of the BCBS Working Paper "Liquidity stress testing: a survey of theory, empirics and current industry and supervisory practices" (Basel Committee Working Paper No 24) - October 2013 Liquidity stress testing: a survey of theory, empirics and current industry and supervisory practices 2013-10-23T13:00:00Z Stress-testing is an important tool in developing a complete picture of an institution's liquidity risk profile. What constitutes a good stress test is, however, not universally clear. Practices still differ widely, not only in the supervisory community, but also in the banking industry. The Research Task Force's Workgroup on Liquidity Stress-Testing was mandated to draft a survey on current practices, identify gaps and - where possible - suggest ways forward. This survey has been written with the broader supervisory community in mind. The Workgroup believes this would include a wide range of ... Liquidity stress testing: a survey of theory, empirics and current industry and supervisory practices 2013-10-23T13:00:00Z BIS liquidity Stress testing PDF version http://www.bis.org/publ/bcbs_wp24.pdf October 2013 Bank for International Settlements: BCBS Working Papers 24 http://www.bis.org/publ/bcbs_wp23.htm Abstract of the BCBS Working Paper "The Proposed Revised Ratings-Based Approach" (Basel Committee Working Paper No. 23) - January 2013 The Proposed Revised Ratings-Based Approach 2013-01-31T15:30:00Z This technical paper describes the assumptions and methodology underlying the Revised Ratings-Based Approach (RRBA) as proposed in the Basel Committee's recent consultative paper Revisions to the Basel Securitisation Framework. The RRBA is calibrated to approximate tranche capital charges generated by the Modified Supervisory Formula Approach (MSFA) under the assumption that an external credit rating is a proxy for the tranche's expected loss rate (EL). Given an assumed risk profile for an underlying homogeneous pool of exposures - characterised by maturity, probability of default, loss given default and asset value correlation - a stylised EL-based credit rating model consistent with the MSFA is used to infer attachment and detachment points for hypothetical tranches having various ratings, seniorities and, for non-senior tranches, thicknesses. With these variables as inputs, the MSFA is used to estimate implied tranche capital charges. The RRBA is then calibrated to approximate the relationship between MSFA capital charges and a tranche's rating, seniority, maturity, and thickness. The Proposed Revised Ratings-Based Approach 2013-01-31T15:30:00Z BIS capital requirement calibration Resecuritisation Credit rating agency Ratings-based approach Seniority Thickness Attachment point Tranche Maturity Detachment point Expected loss Basel securitisation framework Risk weight Modified supervisory formula Rated Securitised exposure PDF version http://www.bis.org/publ/bcbs_wp23.pdf January 2013 Bank for International Settlements: BCBS Working Papers 23 http://www.bis.org/publ/bcbs_wp22.htm Abstract of the BCBS Working Paper "Foundations of the Proposed Modified Supervisory Formula Approach" (Basel Committee Working Paper No. 22) - January 2013 Foundations of the Proposed Modified Supervisory Formula Approach 2013-01-31T15:20:00Z This technical paper describes the modelling framework underlying the Modified Supervisory Formula Approach (MSFA) as proposed in the Basel Committee's recent consultative paper Revisions to the Basel Securitisation Framework. In contrast to the current Basel securitisation framework's Supervisory Formula Approach (SFA), which assumes a one-year maturity for the underlying pool of securitised loans, the MSFA is based on an underlying Expected Shortfall, mark-to-market framework for setting regulatory capital. This mark-to-market underpinning, along with other key assumptions, is intended to render the MSFA more consistent with the Basel's Internal Ratings-Based (IRB) framework for wholesale exposures. Foundations of the Proposed Modified Supervisory Formula Approach 2013-01-31T15:20:00Z BIS calibration Kirb Supervisory formula approach Seniority Thickness Supervisory add-on Attachment point Tranche Underlying pool Capital requirement Maturity Detachment point Expected loss Basel securitisation framework Risk weight PDF version http://www.bis.org/publ/bcbs_wp22.pdf January 2013 Bank for International Settlements: BCBS Working Papers 22 http://www.bis.org/publ/bcbs_wp21.htm Abstract of the BCBS Working Paper "Models and tools for macroprudential analysis" (Basel Committee Working Paper No. 21) - May 2012 Models and tools for macroprudential analysis 2012-05-15T07:43:00Z Models and tools for macroprudential analysis 2012-05-15T07:43:00Z BIS financial accelerator financial stability macroprudential transmission channels Financial system liquidity channel PDF version http://www.bis.org/publ/bcbs_wp21.pdf May 2012 Bank for International Settlements: BCBS Working Papers 21 http://www.bis.org/publ/bcbs_wp20.htm Abstract of the BCBS Working Paper "The policy implications of transmission channels between the financial system and the real economy" (Basel Committee Working Paper No. 20) - May 2012 The policy implications of transmission channels between the financial system and the real economy 2012-05-15T07:40:00Z The policy implications of transmission channels between the financial system and the real economy 2012-05-15T07:40:00Z BIS financial accelerator financial stability macroprudential transmission channels Financial system liquidity channel PDF version http://www.bis.org/publ/bcbs_wp20.pdf May 2012 Bank for International Settlements: BCBS Working Papers 20 http://www.bis.org/publ/bcbs_wp18.htm Abstract of the BCBS Working Paper "The transmission channels between the financial and real sectors: a critical survey of the literature " (Basel Committee Working Paper No. 18) - February 2011 The transmission channels between the financial and real sectors: a critical survey of the literature 2011-02-14T14:55:00Z The transmission channels between the financial and real sectors: a critical survey of the literature 2011-02-14T14:55:00Z BIS financial accelerator Financial Stability macroprudential transmission channels Financial system liquidity channel PDF version http://www.bis.org/publ/bcbs_wp18.pdf February 2011 Bank for International Settlements: BCBS Working Papers 18 http://www.bis.org/publ/bcbs_wp19.htm Abstract of the BCBS Working Paper "Messages from the academic literature on risk measurement for the trading book" (Basel Committee Working Paper No. 19) - January 2011 Messages from the academic literature on risk measurement for the trading book 2011-01-31T09:45:00Z Messages from the academic literature on risk measurement for the trading book 2011-01-31T09:45:00Z BIS value at risk VAR market risk Stress testing bank capital Trading Book PDF version http://www.bis.org/publ/bcbs_wp19.pdf January 2011 Bank for International Settlements: BCBS Working Papers 19 http://www.bis.org/publ/bcbs_wp17.htm Abstract of the BCBS Working Paper 'Vendor models for credit risk measurement and management' (Basel Committee Working Paper No. 17) - February 2010 Vendor models for credit risk measurement and management 2010-02-10T14:00:00Z Vendor models for credit risk measurement and management 2010-02-10T14:00:00Z BIS IRB Probability of default vendor model credit-risk loss-given-default exposure at default PDF version http://www.bis.org/publ/bcbs_wp17.pdf February 2010 Bank for International Settlements: BCBS Working Papers 17