Quantitative Impact Studies: QIS 2 and QIS 2.5 history


During 2001, the Basel Committee on Banking Supervision conducted two major data collection exercises. The second quantitative impact study (QIS 2) 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. 

The second tranche of QIS 2 focused on operational risk, in particular information concerning individual operational risk loss events, the banks' quarterly aggregate operational risk loss experience, and a wider range of potential exposure indicators tied to specific business lines. 

As a result of industry feedback obtained through the consultative process and the valuable information received through QIS 2, the Basel Committee considered several potential modifications to the proposed revised Framework. 

QIS 2.5

Before finally deciding on which modifications should be made, the Committee needed statistical information on the effect that such revisions would have on different banks. In order to gather this information, the Committee had asked a number of banks to participate in an update to QIS 2. This exercise - QIS 2.5 - calculated the Foundation IRB capital requirements as set out in the Committee's January 2001 second consultative paper but after making various modifications which the Committee was considering. 

In a repeat of the May 2001 survey of banks' operational risk data, the Committee was seeking to collect detailed data from the banking sector on operational risk for the most recent financial year (2001). The data collection exercise included information on banks' operational risk losses and various "exposure indicators", and enabled the Committee to further refine the calibration of the operational risk charge proposed for the revised Framework.