Credit Risk Management Essay

153390 Words Mar 6th, 2016 614 Pages
Basel Committee on Banking Supervision

International Convergence of Capital Measurement and Capital Standards
A Revised Framework
Comprehensive Version
This document is a compilation of the June 2004 Basel II Framework, the elements of the 1988 Accord that were not revised during the Basel II process, the 1996 Amendment to the Capital Accord to Incorporate
Market Risks, and the 2005 paper on the Application of Basel II to
Trading Activities and the Treatment of Double Default Effects. No new elements have been introduced in this compilation.

June 2006

Requests for copies of publications, or for additions/changes to the mailing list, should be sent to:
Bank for International Settlements
Press & Communications
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Deduction of investments pursuant to this part .............................................................10

Part 2: The First Pillar – Minimum Capital Requirements.......................................................12
I.

Calculation of minimum capital requirements................................................................12
A.
B.

Risk-weighted assets ...........................................................................................12

C.
Ia.

Regulatory capital ................................................................................................12
Transitional arrangements ...................................................................................13

The constituents of capital.............................................................................................14
A.

Core capital (basic equity or Tier 1) .....................................................................14

B.

Supplementary capital (Tier 2) .............................................................................14
1.

Undisclosed reserves..................................................................................14

2.

Revaluation reserves ..................................................................................15

3.

General provisions/general loan-loss

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