Basel II: An Economic Assessment

May 2002

A workshop jointly organised by the Basel Committee on Banking Supervision, the Centre for Economic Policy Research, and the Journal of Financial Intermediation.

Friday 17 May
8.30   Opening Remarks by Andrew Crockett (Bank for International Settlements)
Session 1 Chair: Urs Birchler (Basel Committee and Swiss National Bank)
8.50   Regulatory and 'Economic' Solvency Standards for Internationally Active Banks (PDF, 38 pages, 211 kb)
Patricia Jackson (Bank of England)
William Perraudin (Birkbeck College and CEPR)
Victoria Saporta (Bank of England)
9.30   Discussion by Arnoud Boot (Powerpoint, 6 pages 32 kb)
(University of Amsterdam)
Discussion by Giovanni Majnoni (Powerpoint, 11 pages 61 kb)
(World Bank)
General discussion
10.00   The Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size (PDF, 65 pages, 365 kb)
Jose A Lopez (Federal Reserve Bank of San Francisco)
10.40   Discussion by George Pennacchi (Powerpoint, 9 pages 42 kb)
(University of Illinois)
Discussion by Akira Ieda (Powerpoint, 18 pages 111 kb)
(Bank of Japan)
General discussion
11.30   Are Capital Buffers Pro-Cyclical? (PDF, 19 pages, 189 kb)
Juan Ayuso (Banco de España)
Daniel Pérez (Banco de España
Jesús Saurina (Banco de España)
12.10   Discussion by George Sheldon (PDF, 2 pages, 11 kb)
(Universität Basel)
Discussion by Ed Ettin (PDF, 6 pages, 225 kb)
(Federal Reserve Board)
General discussion
Session 2 Chair: Anjan Thakor (University of Michigan and JFI)
14.20   Banks, Internal Models, and the Problem of Adverse Selection (PDF, 37 pages, 323 kb)
Christian Ewerhart (Universität Mannheim)
15.00   Discussion by Sudipto Bhattacharya (PDF, 1 page, 58 kb)
(London School of Economics)
Discussion by Bertrand Rime (PDF, 3 pages, 61 kb)
(Swiss National Bank)
General discussion
15.30   Is the New Basel Accord Incentive Compatible? (PDF, 40 pages, 453 kb)
Paul Kupiec (International Monetary Fund)
16.10   Discussion by Paola Sapienza (PDF, 9 pages, 51 kb)
(Northwestern University)
Discussion by Klaas Knot (Powerpoint, 11 pages 72 kb)
(Nederlandsche Bank)
General discussion
17.00   Capital Requirements, Market Power, and Risk-Taking in Banking (PDF, 29 pages, 269 kb)
Rafael Repullo (CEMFI and CEPR)
17.40   Discussion by Oved Yosha (Tel Aviv University)
Discussion by Jürg Blum (Swiss National Bank)
General discussion
Saturday 18 May
Session 3 Chair: Claudio Borio (Bank for International Settlements)
9.00   The Three Pillars of Basel II: Optimizing the Mix in a Continuous-Time Model (PDF, 25 pages, 279 kb)
Jean Paul Décamps (Université de Toulouse)
Benoît Roger (Université de Toulouse)
Jean-Charles Rochet (Université de Toulouse and CEPR)
9.40   Discussion by Henri Pages (Banque de France)
Discussion by Joao Santos (Federal Reserve Bank of New York)
General discussion
10.10   Value-at-Risk vs. Building Block Regulation in Banking (PDF, 52 pages, 437 kb)
Thomas Dangl (Technische Universität Wien)
Alfred Lehar (Universität Wien)
10.50   Discussion by Rajna Gibson (Universität Zürich)
Discussion by Reint Gropp (European Central Bank)
General discussion
11.40   The Optimal Capital Structure of an Economy (PDF, 30 pages, 368 kb)
Hans Gersbach (Universität Heidelberg)
12.20   Discussion by Javier Suarez (CEMFI, Madrid)
Discussion by Erlend Nier (Bank of England)
General discussion
Session 4 Chair: Ernst-Ludwig von Thadden (Université de Lausanne, CEPR and JFI)
14.00   Some Evidence on the Consistency of Banks' Internal Credit Ratings (PDF, 27 pages, 109 kb)
Mark Carey (Federal Reserve Board)
14.40   Discussion by Xavier Freixas (Powerpoint, 8 pages 25 kb)
(Universitat Pompeu Fabra)
Discussion by Philip Lowe (PDF, 6 pages, 225 kb)
(Bank for International Settlements)
General discussion
15.10   Basel II, Sovereign Ratings and Transfer Risk: External versus Internal Ratings (PDF, 27 pages, 229 kb)
Stijn Claessens (University of Amsterdam)
Geert Embrechts (Rabobank International)
15.50   Discussion by Juan Carlos Garcia (BBVA)
Discussion by Konstantinos Tsatsaronis (Bank for International Settlements)
General discussion
16.40   Bank Regulation and Supervision: What Works Best? (PDF, 61 pages, 154 kb)
James R Barth (Auburn University)
Gerard Caprio, Jr (World Bank)
Ross Levine (University of Minnesota)
17.20   Discussion by Mitch Petersen (Northwestern University)
Discussion by Myron Kwast (Federal Reserve Board)
General discussion

Workshop Organisers:

  • Urs Birchler (Basel Committee and Swiss National Bank)
  • Rafael Repullo (CEMFI and CEPR)
  • Stephen Senior (Basel Committee Secretariat)
  • Ernst-Ludwig von Thadden (Université de Lausanne, CEPR and JFI)
  • Anjan Thakor (University of Michigan and JFI)