Overview of Basel II impact studies

During 2001, the Basel Committee on Banking Supervision conducted two data collection exercises (QIS 2 and QIS 2.5) intended to gather information to assess whether the Committee has met its goals with regard to the revised capital framework. The impact studies gathered the data necessary to allow the Committee to gauge the impact of the second consultation document across a wide range of banks in the G10 and beyond, given the differing risk profiles of banks and the extent to which credit risk mitigation is used.

In October 2002, the Committee launched another comprehensive field test for banks, referred to as the third quantitative impact study, or QIS 3. It represented a significant step in the Committee's efforts to develop the Basel II Framework. The study focused on the impact of the Basel II proposals on minimum capital requirements (ie Pillar 1) before finalisation of the third consultative paper (CP3). A separate operational loss data collection exercise was launched in June 2002. The results of this exercise were published on 14 March 2003.

Before the release of the Basel II Framework in June 2004, the Committee gauged its impact based on QIS 3 data. In the meantime, however, banks' abilities to estimate the parameters for the more advanced approaches of Basel II have improved significantly. Furthermore, certain analyses conducted by the Committee after QIS 3 had to be based on approximations since not all necessary data were available. Several member countries therefore decided to conduct national impact studies (QIS 4) or field tests based on the Basel II Framework during 2004 or the first half of 2005. While these exercises did not represent a joint effort of the Committee, and the details varied significantly across countries, the Committee developed templates for a workbook and accompanying instructions. These could be used as a basis for the development of workbooks and instructions tailored to the particularities of the implementation in those countries that conducted a national impact study or field test.

In March 2005, the Basel Committee announced its decision to review the calibration of the Basel II Framework in spring 2006. In order to ensure that this review is based on the most recent, high-quality data and to evaluate the new proposals for the recognition of double default and trading book-related issues, the Committee undertook a fifth Quantitative Impact Study (QIS 5) between October and December 2005. The results of this study were published on 16 June 2006.

In February 2010, the Committee started with the data collection for a comprehensive quantitative impact study in order to assess the impact on participating banks of the final and proposed rules published by the Committee in 2009.