INTRODUCTION

The following is a compilation of resources on Basel II, and while mostly historical, it provides a lot of background related to the “principles” based approach to Risk Management, as well as on implementation issues and topics. Some are Basel Committee papers, some are of more general content, and some are more “academic” in nature.

Given all that has gone on recently, this information is a good starting point for a discussion on what banks are currently doing and why, and any lessons learned that you would like to share.  If you would like to add any more current material to this post, including experiences your organization has had, or questions you have of others, please post them after this list.

GENERAL OVERVIEW OF BASEL II

• U.S. Federal banking agencies final guidance, http://www.occ.gov/ftp/release/2008-81a.pdf
• OCC Approves Basel II Capital Rule for U.S. Banks http://www.occ.gov/ftp/release/2007-123.htm
• Basel II: Revised international capital framework (BCBS), http://www.bis.org/publ/bcbsca.htm
• Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS)http://www.bis.org/publ/bcbs107.htm
• Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS) (November 2005 Revision)http://www.bis.org/publ/bcbs118.htm
• Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework, Comprehensive Version (BCBS) (June 2006 Revision)http://www.bis.org/publ/bcbs128.pdf
• Global Data and Risk Management Survey 2005, Impact of Basel II on IT investments, 2008 survey underway, http://www.aimsoftware.com/topics/survey2009
• FRB Boston paper on measurement of operational risk.http://www.bos.frb.org/economic/wp/wp2006/wp0613.htm
• Daníelsson, Jón. “The Emperor Has No Clothes: Limits to Risk Modelling.” Journal of Banking and Finance, 2002, 26, pp. 1273-96. http://www.sedlabanki.is/uploads/files/Malstofa_050301-JD.pdf
• Validating Risk Rating Systems under the IRB Approaches http://www.info.gov.hk/hkma/eng/bank/spma/attach/CA-G-4.pdf
• Sample Implementation guidelines from the Hong Kong Monetary Authority, http://www.info.gov.hk/hkma/eng/basel2/index.htm
• Sample of Return Templates of capital Adequacy Ratio http://www.info.gov.hk/hkma/eng/bank/retform/pdf/MA(BS)3.pdf
• Canada Capital Adequacy Requirements http://www.osfi-bsif.gc.ca/app/DocRepository/1/eng/guidelines/capital/guidelines/car_a1_e.pdf
• Basel I, Basel II, and Emerging Markets: A Nontechnical Analysis, https://jscholarship.library.jhu.edu/bitstream/handle/1774.2/32826/Basel%20I%2c%20Basel%20II%2c%20and%20Emerging%20Markets%20a%20Nontechnical%20Analysis052008.pdf?sequence=1
• BIS Quarterly Review: International Banking and Financial Market Developments 6 September 2004, “Basel II – towards a new common language” Ryozo Himino1http://www.bis.org/publ/qtrpdf/r_qt0409e.pdf
• APRA Insight 4th Quarter 2004, “The Basel II Capital Framework in Australia”, http://www.apra.gov.au/Insight/loader.cfm?url=/commonspot/security/getfile.cfm&PageID=8357
• “Bank Governance Principles and Basel II; A Best Practice Guide” Developed as part of the Australian APEC Study Centre’s Managing Regulatory Change Program 2004 http://www.apec-finsecreg.org/BankGovernance.htm

CURRENT TRENDS IN BANK REGULATION

• FDIC Update “Basel and the Evolution of Capital Regulation: Moving Forward, Looking Back” January 14, 2003 http://www.fdic.gov/bank/analytical/fyi/2003/011403fyi.html
• “An Overall Perspective on Banking Regulation” By Xavier Freixas and Anthony M. Santomero http://www.phil.frb.org/files/wps/2002/wp02-1.pdf
• “Bank Regulation and Supervision: What Works Best,” by James R. Barth, Gerard Caprio, Jr., and Ross Levine http://www.worldbank.org/research/interest/prr_stuff/wwb_122001.pdf
• “A Survey of Government Regulation and Intervention in Financial Markets” Leora Klapper and Rida Zaidi Prepared for the World Development Report 2005: http://siteresources.worldbank.org/INTWDR2005/Resources/Klapper_Zaidi_Survey_of_Government_Regulation.pdf
• International Monetary Fund, “Financial Sector Regulation: Issues and Gaps—Background Paper” August 17, 2004 http://www.imf.org/external/np/mfd/2004/eng/081704.pdf

EMERGING ISSUES IN BANK REGULATION

• Chami, Ralph, Khan, Mohsin S., Sharma, Sunil, IMF Institute “Emerging Issues in Banking Regulation”, May 1, 2003,http://www.imf.org/external/pubs/cat/longres.cfm?sk=16519.0
• “The Regulation and Supervision of Banks Around the World: A New Database”, by James R. Barth, Gerard Caprio, Jr. and Ross Levine. May 2001 http://www.worldbank.org/research/interest/worddocs/Database%20WP_050701_all.pdf
• FSI Occasional Papers, “Implementation of the new capital adequacy framework in non-Basel Committee member countries”, 30 July 2004 http://www.bis.org/fsi/fsipapers04.pdf

THE ORIGINAL BASEL ACCORD: EFFECTS AND PROBLEMS

• Basle Committee on Banking Supervision “Capital Requirements and Bank Behaviour: The Impact of the Basle Accord” Working Paper No. 1, April 1999 http://www.bis.org/publ/bcbs_wp1.htm
• “Changing of the Guard” by Chris Matten: http://www.pwcglobal.com/extweb/ncinthenews.nsf/docid/7E1181E4265A6C64CA256D2E00083D3D

AN INTRODUCTION TO BASEL II

• Basel Committee, “Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework” June 2004, http://www.bis.org/publ/bcbs107.htm
• Basel Committee Newsletters: “Update on work of the Accord Implementation Group related to validation under the Basel II Framework”. 1 February 2005 http://www.bis.org/publ/bcbs_nl4.htm
• Federal Reserve Bank of Philadelphia, “Supervision, Regulation and Credit” (a web page of links to Basel 2 material) http://www.phil.frb.org/src/basel.html
• Basel II: Implications for Hong Kong” Banking Policy Department, HKMA Quarterly Bulletin, September 2003, http://www.info.gov.hk/hkma/eng/public/qb200309/fa5.pdf
• “Overview of The New Basel Capital Accord Third Consultative Paper” 29 April 2003 http://www.bis.org/bcbs/cp3ov.pdf
• “Basel II: Significant Progress on Major Issues” 11 Oct 2003 http://www.bis.org/press/p031011.htm
• “Continued progress toward Basel II” 15 January 2004 http://www.bis.org/press/p040115.htm

BASEL II versus BASEL I

• Implementing the New Basel Accord by William J McDonough http://www.bis.org/review/r030217a.pdf
• Roger W Ferguson, Jr: Basel II – a realist’s perspective: http://www.bis.org/review/r030416d.pdf
• Roger W Ferguson, Jr: “Concerns and considerations for the practical implementation of the New Basel Accord”, Switzerland, 2 December 2003. http://www.bis.org/review/r031215e.pdf
• “The impact of the new Basel Accord on the supply of capital to emerging market economies” Simon Hayes and Victoria Saporta, International Finance Division, and David Lodge, Financial Industry and Regulation Division, Bank of England, Financial Stability Review, December 2002 http://www.bankofengland.co.uk/fsr/fsr13art4.pdf
• “Emerging Issues in Banking Regulation” Chami, Ralph, Khan, Mohsin S, Sharma, Sunil, IMF Institute http://www.imf.org/external/pubs/ft/wp/2003/wp03101.pdf
• The following statements of US bankers before a Senate Hearing provide some interesting perspectives Blakely, Kevin (2003) “Statement of Kevin Blakely” U.S. Senate Committee on Banking, Housing, and Urban Affairs “A Review of the New Basel Capital Accord” June, 18 http://www.senate.gov/~banking/_files/blakely.pdf
• D. Wilson Ervin (2003) “Statement of D. Wilson Ervin” U.S. Senate Committee on Banking, Housing, and Urban Affairs “A Review of the New Basel Capital Accord” June, 18 http://www.senate.gov/~banking/_files/ervin.pdf
• Petrou Karen Shaw (2003) “Statement of Karen Shaw Petrou” U.S. Senate Committee on Banking, Housing, and Urban Affairs “A Review of the New Basel Capital Accord” June, 18 http://www.senate.gov/~banking/_files/petrou.pdf

BASEL II IMPLEMENTATION ISSUES: CREDIT RATINGS

• Basel Committee On Banking Supervision Working Papers No. 3 – August 2000 “Credit Ratings And Complementary Sources Of Credit Quality Information” by a working group led by: Arturo Estrellahttp://www.bis.org/publ/bcbs_wp3.pdf
• “Basel II, Sovereign Ratings and Transfer Risk: External versus Internal Ratings” Stijn Claessens and Geert Embrechts 07 May 2002 http://www.bis.org/bcbs/events/b2eacla.pdf
• Fact Sheet – Understanding Credit Ratings” Standard and Poors http://www2.standardandpoors.com/NASApp/cs/ContentServer?pagename=sp/sp_article/ArticleTemplate&c=sp_article&cid=1028668470274&r=1&b=5&s=&f=
• Corporate Ratings Criteria Standard and Poors http://www2.standardandpoors.com/spf/pdf/fixedincome/CorpCrit2003r-jun.pdf
• Financial Stability Institute, FSI Award 2004 Winning Paper: “A Review of Credit Registers and their Use for Basel II”, 8 October 2004, http://www.bis.org/fsi/awp2004.pdf

IRB DATA REQUIREMENTS AND COOPERATIVE ARRANGEMENTS

• “Some Evidence on the Consistency of Banks’ Internal Credit Ratings” Mark Carey Federal Reserve Board http://www.bis.org/bcbs/events/b2eacar.pdf
• “Data hurdles” Dwight Cass, Editor Risk Magazine November 2002/Volume 15 / No 11 http://db.riskwaters.com/public/showPage.html?page=7818

WHAT ARE THE BENEFITS OF ADVANCED IRB STATUS?

• “Much ado about nothing? an alternative view of the Basel II rules for calculating regulatory capital” Tim Giles and Alistair Milne 4th December 2003. http://www.cass.city.ac.uk/ecr/Files/Much%20ado%20about%20nothing.pdf

ACHIEVING IRB STATUS

• Basel Committee on Banking Supervision Working Paper No. 14 Studies on the Validation of Internal Rating Systems February 2005 http://www.bis.org/publ/bcbs_wp14.pdf
• “Range of Practice in Banks’ Internal Ratings Systems” A discussion paper by the Basel Committee on Banking Supervision January 2000 http://www.bis.org/publ/bcbs66.pdf
• William Treacey and Mark Carey “Credit Risk Rating at Large U.S. Banks” Federal Reserve Bulletin, November 1998, pages 897-921 http://www.federalreserve.gov/pubs/bulletin/1998/1198leadw.pdf

IRB CREDIT RISK MODELING

• DefaultRisk.com advertises itself as the web’s biggest credit risk modeling resource, and has lots of useful links and resources. http://www.defaultrisk.com/
• “MAS Technical Paper on Credit Stress Testing” MAS Information Paper 1-2003 http://www.mas.gov.sg/resource/download/CSTTechnicalPaper.pdf
• “Modeling Default Risk” Peter J. Crosbie and Jeffrey R. Bohn, of Moody’s KMV December 18, 2003 http://www.moodyskmv.com/research/whitepaper/ModelingDefaultRisk.pdf
• ”Credit risk modeling” Patricia Jackson, Pamela Nickell and William Perraudin, Regulatory Policy Division, Bank of England http://www.bankofengland.co.uk/fsr/fsr06art5.pdf
• “Of Moody’s and Merton: A Structural Model of Bond Rating Transitions” Michael Gordy and Erik Heitfield: http://www.bis.org/bcbs/oslo/gordyheit.pdf#xml=http://search.atomz.com/search/pdfhelper.tk?sp-o=1,100000,0
• Credit Risk Modelling: Current Practices and Applications, Basle committee on Banking Supervision, April 1999. http://www.bis.org/publ/bcbs49.pdf
• “Issues in the Credit Risk Modeling of Retail Markets” Linda Allen, Gayle DeLong, Anthony Saunders http://www.phil.frb.org/econ/conf/retailcreditrisk/AllenDeLongSaunders.pdf
• BIS Working Papers No 126 “A survey of cyclical effects in credit risk measurement Models” by Linda Allen and Anthony Saunders http://www.bis.org/publ/work126.pdf
• “Procyclicality and the new Basel Accord – banks’ choice of loan rating system” Eva Catarineu-Rabell Patricia Jackson and Dimitrios P Tsomocos Working Paper no. 181 http://www.bankofengland.co.uk/workingpapers/wp181.pdf
• Credit Risk Management: Models and Judgment, Roger W Ferguson: http://www.bis.org/review/r011016b.pdf
• Credit Risk Factor Modeling and the Basel II IRB Approach, Alfred Hamerle, Thilo Liebig, Daniel Rösch, Nov 2003, http://www.bundesbank.de/download/bankenaufsicht/dkp/200302dkp_b.pdf

QUANTITATIVE IMPACT STUDIES

• “QIS 3 – Third Quantitative Impact Study” 5May 2003 http://www.bis.org/bcbs/qis/qis3results.pdf
• “Supplementary Information on QIS 3” 27 May 2003 http://www.bis.org/bcbs/qis/qis3sup.pdf
• Basel Committee “Update to the Quantitative Impact Study: national impact studies”, 20 December 2004 http://www.bis.org/bcbs/qis/qis4.htm

PROVISIONS AND EXPECTED LOSSES

• “Dynamic provisioning: issues and application” Fiona Mann and Ian Michael, Financial Industry and Regulation Division, Bank of England http://www.bankofengland.co.uk/fsr/fsr13art6.pdf
• ”Bank provisioning: the UK experience” Glenn Hoggarth and Darren Pain, Financial Industry and Regulation Division, Bank of England http://www.bankofengland.co.uk/fsr/fsr12art3.pdf
• ”Sound Practices for Loan Accounting, Credit Risk Disclosure and Related Matters” Basel Committee Publications No. 43 (October 1998) http://www.bis.org/publ/bcbs43.htm
• “Bank Loan-Loss Accounting: A Review of Theoretical and Empirical Evidence” Economic Review Second Quarter 2000/Volume 85, Number 2 Larry D. Wall and Timothy W. Koch http://www.frbatlanta.org/invoke.cfm?objectid=227E9B23-9568-11D5-898300609459DBE6&method=display_body
• World Bank Working Paper No 1 “Bank Loan Classification and Provisioning Practices in Selected Developed and Emerging Countries” Edited by Alain Laurin Giovanni Majnoni http://www1.worldbank.org/publications/pdfs/15397frontmat.pdf
• C Borio and P Lowe “To Provision or Not to Provision” BIS Quarterly Review September 2001 http://www.bis.org/publ/r_qt0109e.pdf

BASEL II AND PROVISIONS

• “Modifications to the capital treatment for expected and unexpected credit losses” Basel Committee Publications No. 104 January 2004
  http://www.bis.org/publ/bcbs104.pdf

BASEL II AND CREDIT RISK MITIGATION

• Basel Committee, The New Basel Capital Accord, Part 2: The First Pillar – Minimum Capital Requirements http://www.bis.org/bcbs/cp3part2.pdf
• “Changes to the securitization framework” Basel Committee Publications No. 105 January 2004 http://www.bis.org/publ/bcbs105.pdf

USING SECURITIZATION AND CREDIT DERIVATIVES

• ‘Credit Risk Transfer Markets: An Australian Perspective’ May 2003 Reserve Bank of Australia Bulletin http://www.rba.gov.au/PublicationsAndResearch/Bulletin/bu_may03/bu_0503_2.pdf
• “New Measures of Credit Risk” Reserve Bank of Australia Bulletin July 2003 http://www.rba.gov.au/PublicationsAndResearch/Bulletin/bu_jul03/bu_0703_2.pdf
• “Securitization” .O Emre Ergungor Federal Reserve Bank Of Cleveland. Economic Commentary. Aug 15, 2003 http://www.clevelandfed.org/research/com2003/0815.pdf
• ”Credit Risk Transfers using Derivatives and Implications for Financial Market Functioning” Ada Lee and Eve Law December 2003, Hong Kong Monetary Authority http://www.info.gov.hk/hkma/eng/research/index.htm
• “Credit Risk Transfer” by BIS Committee on the Global Financial System January 2003 http://www.bis.org/publ/cgfs20.pdf
• Federal Reserve Bank of Philadelphia Working Paper No. 03-7 “Credit Card Securitization And Regulatory Arbitrage” Charles W. Calomiris and Joseph R. Mason April 2003 http://www.phil.frb.org/files/wps/2003/wp03-7.pdf

BASEL II AND OPERATIONAL RISK

• “Sound Practices for the Management and Supervision of Operational Risk” Basel Committee Publications No. 96 February 2003 http://www.bis.org/publ/bcbs96.htm#pgtop
• Basel Committee on Banking Supervision Working Paper on the Regulatory Treatment of Operational Risk September 2001 http://www.bis.org/publ/bcbs_wp8.pdf
• Basel Committee on Banking Supervision, The Joint Forum “Operational risk transfer across financial sectors” August 2003 http://www.bis.org/publ/joint06.pdf
• Federal Reserve Bank of Boston, Capital Allocation for Operational Risk Conference, http://www.bos.frb.org/bankinfo/conevent/oprisk/

Case Study – Allied Irish Banks

• Allied Irish Bank Ludwig Report – report into fraudulent trading activities available at http://www.aib.ie/servlet/ContentServer?pagename=AIB_Ireland/IHPHomepage

MANAGING OPERATIONAL RISK

• ”Using Loss Data to Quantify Operational Risk” Patrick de Fontnouvelle Virginia DeJesus-Rueff John Jordan Eric Rosengren Federal Reserve Bank of Boston April, 2003 http://www.bis.org/bcbs/events/wkshop0303/p04deforose.pdf
• Risk Management Group (RMG) of the Basel Committee on Banking Supervision Risk March 2003 “The 2002 Loss Data Collection Exercise for Operational Risk: Summary of the Data Collected” http://www.bis.org/bcbs/qis/ldce2002.pdf
• “No. 96 Sound Practices for the Management and Supervision of Operational Risk”, (E), February 2003 http://www.bis.org/publ/bcbs96.pdf

BASEL II AND RISK MANAGEMENT ARRANGEMENTS

• “Calculated Risk: How banks make sure they stay off the Barings path” Neil Hereford, Senior Analyst, Market Risk, Reserve Bank of Australia http://www.garp.com/library/Articles/calcrisk.docII

THE ORGANIZATION OF RISK MANAGEMENT

• Basel Committee on Banking Supervision, The Joint Forum “Trends in risk integration and aggregation” August 2003 http://www.bis.org/publ/joint07.pdf
• Christine M. Cumming and Beverly J. Hirtle “The Challenges of Risk Management in Diversified Financial Companies” Economic Policy Review FRBNY March 2001 Volume 7, Number 1 http://www.ny.frb.org/research/epr/01v07n1/0103cumm.html
• “Risk management in the Reserve Bank: a 2003 perspective” Steve Anderson, Risk Assessment and Assurance Reserve Bank of New Zealand Bulletin: September 2003 (Vol 66, no 3) http://www.rbnz.govt.nz/research/bulletin/2002_2006/2003sep66_3anderson.pdf
• Failures in Risk Management” Ralph C. Kimball FRBB New England Economic Review January/February 2000 http://www.bos.frb.org/economic/neer/neer2000/neer100a.pdf
• Adrian E. Tschoegl “The Key to Risk Management: Management”, Wharton Financial Institutions Center http://fic.wharton.upenn.edu/fic/papers/99/9942.pdf
• Oliver Wyman “The Evolving Role of the Chief Financial Officer and the Chief Risk Officer – Exec Summary” Joint Research Study 2002-11-01 http://www.merceroliverwyman.com/perspectives/articles/owc_nov_02_the_evolving_role_of_the_cfo_and_cro-executive%20summary.pdf
• “Risk Measurement Within Financial Conglomerates: Best Practice By Risk Type” De Nederlandsche Bank, Working group on Economic Capital Models Research Series Supervision no. 51, February 2003 http://www.gloriamundi.org/picsresources/rmfi.pdf

INTRODUCTION TO VaR

• Darryll Hendricks “Evaluation of Value-at-Risk Models Using Historical Data” FRBNY Economic Policy Review April 1996 Volume 2, Number 1 http://www.ny.frb.org/research/epr/96v02n1/9604hend.pdf
• Philippe Jorion’s Orange County Case: Using Value at Risk to Control Financial Risk: http://www.gsm.uci.edu/~jorion/oc/case.html
• Don Chance’s Teaching Note 97-07 on Value at Risk: http://www.bus.lsu.edu/academics/finance/faculty/dchance/Instructional/TN97-07.pdf
• All About Value at Risk (a web-site with links to other VaR information sites): http://www.gloriamundi.org/
• Committee on the Global Financial System “Stress testing at major financial institutions: survey results and practice” 18 January 2005 http://www.bis.org/publ/cgfs24.htm

MARKET RISK AND INTERNAL MODELS

• Colleen Cassidy and Marianne Gizycki “Measuring Traded Market Risk: Value-At-Risk And Backtesting Techniques” Research Discussion Paper 9708 November 1997 Bank Supervision Department Reserve Bank of Australia http://www.rba.gov.au/PublicationsAndResearch/RDP/RDP9708.html
• “Fallacies about the effects of market risk management systems” Philippe Jorion, Professor of Finance, University of California at Irvine http://www.bankofengland.co.uk/fsr/fsr13art5.pdf
• “The Development of Internal Models Approaches to Bank Regulation & Supervision: Lessons from the Market Risk Amendment” Jose A. Lopez and Marc R. Saidenberg http://www.frbsf.org/economics/economists/saidenberg.pdf

VaR USES AND WEAKNESSES

• Ingo Fender and Michael Gibson “Stress testing in practice: a survey of 43 major financial institutions” Quarterly Review: International Banking and Financial Market Developments, 18 June 2001, Bank for International Settlements, http://www.bis.org/publ/r_qt0106g.pdf

CAPITAL ADEQUACY STANDARDS: THE ROLE OF BANK CAPITAL

• The New Basel Capital Accord Third Consultative Paper 29 April 2003 Part 2: The First Pillar – Minimum Capital Requirements http://www.bis.org/bcbs/cp3part2.pdf
• “Bank capital regulation in contemporary banking theory: a review of the literature” BIS Working Papers No. 90 by João A C Santos (September 2000) http://www.bis.org/publ/work90.htm
• Capital Allocation http://www.riskglossary.com/articles/capital_allocation.htm
• “CMRA Releases Economic Capital Survey” Financial Engineering News http://www.fenews.com/fen22/survey.html
• Lehman Brothers, Insurance: Property &Casualty, Risk-Adjusted Capital: An Emerging Positive Secular Trend September 6, 2000 http://www.rms.com/Publications/Risk_Adjusted_Cap.pdf
• “The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital”, Mark Illing and Graydon Paulin, Aug 2004, http://www.bankofcanada.ca/publications/working.papers/2004/wp04-30.pdf
• Capital & Market Risk Insights, Federal Reserve Bank of Chicago 2004/Number 2 “Loss given default and economic capital” http://www.chicagofed.org/publications/capital_and_market_risk_insights/2004/december_2004.pdf

BANK CAPITAL PLANNING

• Basel Committee on Banking Supervision, The Joint Forum “Trends in risk integration and aggregation” August 2003 Annex 2 http://www.bis.org/publ/joint07.pdf
• “Bank Capital and Risk Management” Kenneth A. Froot Harvard University and NBER June 2001 IFCI RISK INSTITUTE http://riskinstitute.ch/147470.htm

THE COST OF BANK CAPITAL

• Edward J. Green, Jose A. Lopez, and Zhenyu Wang, “Formulating the Imputed Cost of Equity Capital for Priced Services at Federal Reserve Banks” Economic Policy Review September 2003 Volume 9, Number 3 http://www.newyorkfed.org/research/epr/03v09n3/0309gree.pdf
• Tom Wilson, Oliver, Wyman & Company, “Overcoming the Hurdle: Integrating the Shareholder/Debtholder Perspective” 2003, PRMIA Summit Award Winning Paper http://www.erisk.com/ResourceCenter/ERM/Listing.asp (to access this part of the erisk site a (free) subscriber id and password is required).
• “PSAF, Economic Capital and the New Basel Accord” Federal Reserve Bank of Cleveland working paper 0111 James B. Thomson http://www.clevelandfed.org/Research/Workpaper/2001/Wp0111.pdf

BANK CAPITAL INNOVATIONS

• “The choice of capital instruments” Larry D. Wall and Pamela P. Peterson Federal Reserve Bank Of Atlanta. Economic Review. 2 Q, 1998 – p. 4-17. http://www.frbatlanta.org/frbatlanta/invoke.cfm?objectid=227E9B7D-9568-11D5-898300609459DBE6&method=display_body
• “Pooled trust preferred stock – a new twist on an older product” Paul Jordan Federal Reserve Bank Of Chicago. Emerging Issues. S&R-00-2. Mar, 2000 http://www.chicagofed.org/publications/publicpolicystudies/emergingissues/pdf/S&R-2000-2.pdf

RATINGS AND BANK CAPITAL RAISINGS

• “Rating Banks: Risk and Uncertainty in an Opaque Industry” Donald P. Morgan http://www.newyorkfed.org/research/economists/morgan/draft9.pdf
• “Capital Ratios and Credit Ratings as Predictors of Bank Failures” Arturo Estrella, Sangkyun Park, and Stavros Peristiani Federal Reserve Bank of New York September 1999 http://www.ny.frb.org/research/economists/peristiani/RATIO62.PDF

REGULATORY CAPITAL CHARGES AND PRODUCT PRICING

• “Regulatory and economic solvency standards for internationally active banks” Patricia Jackson, William Perraudin and Victoria Saporta http://www.bis.org/bcbs/events/b2eajps.pdf
• Basel Committee, The New Basel Capital Accord, Part 2: The First Pillar – Minimum Capital Requirements http://www.bis.org/bcbs/cp3part2.pdf
• “The impact of the new Basel Accord on the supply of capital to emerging market economies” Simon Hayes and Victoria Saporta, International Finance Division, and David Lodge, Financial Industry and Regulation Division, Bank of England Financial Stability Review: December 2002 http://www.bankofengland.co.uk/fsr/fsr13art4.pdf
• “Credit Attributes of Project Finance” The Journal of Structured and Project Finance, Fall 2002 Chris Beale, Michel Chatain, Nathan Fox, Sandra Bell, James Berner, Robert Preminger, And Jan Prins http://www2.standardandpoors.com/NASApp/cs/ContentServer?pagename=sp/sp_product/ProductBodyTemplate&cid=1021984025955&s=138&b=11&f=1&r=7&ig=&l=EN
• “How will Basel II affect bank lending to emerging markets? An analysis based on German bank level data”, Thilo Liebig, Daniel Porath, Beatice Weder di Mauro, Michael Wedow , Oct 2004, http://www.bundesbank.de/download/bankenaufsicht/dkp/200405dkp_b.pdf

CAPITAL ALLOCATION

• “Economic profit and performance measurement in banking”. Ralph C. Kimball Federal Reserve Bank Of Boston. New England Economic Review. Jul, 1998 – p. 35-53. http://www.bos.frb.org/economic/neer/neer1998/neer498c.htm
• Andrew Kuritzkes, Til Schuermann, Scott M. Weiner “Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates”, Wharton Financial Institutions Center 03-02 http://fic.wharton.upenn.edu/fic/KSW%20Financial%20Conglomerates%201.3.pdf
• Society of Actuaries, Risk Management Task Force Economic Capital Calculation and Allocation Subgroup Speciality Guide V1.4 (June 2003) http://www.soa.org/sections/rmtf/rmtf_ecca.html

ASSET LIABILITY MANAGEMENT

• Office of Thrift Supervision, “The OTS Net Portfolio Value Model Manual” http://www.ots.treas.gov/pagehtml.cfm?catNumber=85&an=3
• APRA technical paper – Interest rate risk in the banking book (May 2003) http://www.apra.gov.au/ADI/loader.cfm?url=/commonspot/security/getfile.cfm&PageID=5983
• APRA Insight 2^nd Quarter 2003 “Interest rate risk in the banking book” http://www.apra.gov.au/Insight/loader.cfm?url=/commonspot/security/getfile.cfm&PageID=5970
• HKMA, Supervisory Policy Manual (SPM) 13 December 2002 IR-1 “Interest Rate Risk Management” “Return of Interest Rate Risk Exposures” (IRR return)
  • http://www.info.gov.hk/hkma/eng/bank/spma/attach/IR-1.pdf
  • http://www.info.gov.hk/hkma/eng/bank/spma/attach/IR-1-return.pdf
• “Principles for the Management and Supervision of Interest Rate Risk Basel Committee Publications July 2004 http://www.bis.org/publ/bcbs108.pdf

FUNDS TRANSFER PRICING

• “Innovations in performance measurement in banking”, Ralph C. Kimball Federal Reserve Bank Of Boston. New England Economic Review. May, 1997 – p. 23-38 http://www.bos.frb.org/economic/neer/neer1997/neer397b.htm

CURRENT BANK DISCLOSURE PRACTICES

• “Disclosure – Let there be light” APRA Insight, 2003 First Quarter, http://www.apra.gov.au/Insight/loader.cfm?url=/commonspot/security/getfile.cfm&PageID=5506
• “Public Disclosures by Banks: Results of the 2001 Disclosure Survey” Basel Committee Publications No. 97 May 2003 http://www.bis.org/publ/bcbs97.htm
• Ursel Baumann and Erlend Nier “Disclosure in Banking: What matters Most?” 25 Sept 2003 http://www-gsb.columbia.edu/chazen/conferences/valuation/PDF/Baumann_and_Nier.pdf
• Reserve Bank of New Zealand “Your Bank’s Disclosure Statement What’s In It For You?” November 1998 http://www.rbnz.govt.nz/banking/supervision/disclosure_pamphlet.pdf
• “The Role of Discolure in Bank Supervision” Brian Gray, Chief Manager, Bank Supervision Department Seventh Melbourne Money & Finance Conference Ballarat, Victoria – 29 & 30 November 1996 http://www.rba.gov.au/Speeches/1996/sp_so_291196.html
• “Web-Enabled Business Reporting For The Banking Industry” Morgan Stanley September 2002 http://www.inman.com.au/collateral/EY-Whitepaper.pdf
• Exposure Draft ED 113, May 2003 “Request for Comment on IAS 30 Disclosures in the Financial Statements of Banks and Similar Financial Institutions Exposure Draft ED 113” Australian Accounting Standards Board http://www.aasb.com.au/public_docs/acc_eds/ACCED113_05-03.pdf

BASEL II – DISCLOSURES AND MARKET DISCIPLINE

• Federal Reserve Bank of New York Economic Policy Review, Volume 10, Number 2 September 2004 “Beyond Pillar 3 in International Banking Regulation: Disclosure and Market Discipline of Financial Firms” Proceedings of a Conference http://www.newyorkfed.org/research/epr/2004n2.html
• Jaime Caruana “The importance of transparency and market discipline approaches in the New Capital Accord” Chicago, 1 November 2003 http://www.bis.org/review/r031112b.pdf
• “Disclosure as a Supervisory Tool: Pillar 3 of Basel II” FRBSF Economic Letter Number 2003-22, August 1, 2003 http://www.sf.frb.org/publications/economics/letter/2003/el2003-22.pdf
• “Strengthening market disciplines in the financial sector” Geof Mortlock, Economics Department RBNZ, http://www.rbnz.govt.nz/research/bulletin/2002_2006/2002sep65_3mortlock.pdf
• Malcolm D Knight: “Three observations on market discipline” Speech delivered by Malcolm D Knight, General Manager of the BIS, at the BIS-Federal Reserve Bank of Chicago Conference on “Market Discipline” in Chicago on 30 October 2003. http://www.bis.org/speeches/sp031030.htm
• “Best Practices for Credit Risk Disclosure” Basel Committee on Banking Supervision http://www.bis.org/publ/bcbs74.pdf
• APRA Insight, 2nd Quarter 2004, “The role of disclosure in prudential supervision”, http://www.apra.gov.au/Insight/loader.cfm?url=/commonspot/security/getfile.cfm&PageID=7643

MARKET DISCIPLINE, BANKS AND PRUDENTIAL REGULATION

• The New Basel Capital Accord Third Consultative Paper 29 April 2003 Part 4: The Third Pillar – Market Discipline http://www.bis.org/bcbs/cp3part4.pdf

BANK SUPERVISORS AND BANKERS

• The New Basel Capital Accord Third Consultative Paper 29 April 2003 Part 3: The Second Pillar – Supervisory Review Process http://www.bis.org/bcbs/cp3part3.pdf

BASEL II AND BANK GOVERNANCE

• “Corporate governance in the financial sector”, Allan Bollard, Governor, RBNZ, http://www.rbnz.govt.nz/research/bulletin/2002_2006/2003jun66_2bollard7Apr.pdf
• “The corporate governance of banks” Jonathan R. Macey and Maureen O’Hara Federal Reserve Bank Of New York. Economic Policy Review. v.9, no.1. Apr, 2003 p. 91-107. http://www.newyorkfed.org/research/epr/03v09n1/0304mace.html
• “Corporate Governance: A Mandate for Risk Management?” Lynn T Drennan and Matthias Beck http://www.nottingham.ac.uk/business/cris/ukec/2001paper4.doc

DIRECTOR AND GOVERNANCE AND RISK

• “Detecting Red Flags in Board Reports: A Guide for Directors”, Office of the Comptroller of the Currency, Washington, D.C. Oct 2003 http://www.occ.treas.gov/RF_Book.pdf
• “Internal Controls: A Guide for Directors” Office of the Comptroller of the Currency, Washington, D.C. Sept 2000 http://www.occ.treas.gov/toolkit.htm

BANK PLANNING FOR BASEL II

• PWC Global “Challenges of the new Basel Accord – Actions for senior management”
  http://www.pwcglobal.com/uk/eng/ins-sol/survey-rep/pwc_Basel_Accord_booklet.pdf
• “Reaping the Rewards of Improved Risk Management in Retail Banking” Mercer, Oliver, Wyman, Perspectives, June 2003
  http://www.oliverwyman.com/perspectives/articles/owc_jun_03_-_reaping_the_rewards_of_improved_risk_management_in_retail_banking.pdf

IMPLEMENTING BASEL II

• Basel Committee: “Implementation of Basel II: Practical Considerations”, 29 July 2004 http://www.bis.org/publ/bcbs109.htm
• Financial Services Authority, CP05/03: “Strengthening capital standards. Including feedback on CP189” http://www.fsa.gov.uk/pubs/cp/cp05_03.pdf
• “The Implementation of Basel II: Some Issues for Cross-Border Banking” Remarks by Governor Ben S. Bernanke, At the Institute of International Bankers’ Annual Breakfast Dialogue, Washington, D.C. October 4, 2004 http://www.federalreserve.gov/boarddocs/speeches/2004/20041004/default.htm
• Office of the Comptroller of the Currency, Federal Deposit Insurance Corporation, Board of Governors of the Federal Reserve System, Office of Thrift Supervision, Interagency Statement – U.S. Implementation of Basel II Framework Qualification Process – IRB and AMA, January 27, 2005 http://www.federalreserve.gov/boarddocs/press/bcreg/2005/20050127/attachment.pdf

OTHER MATERIALS

The following contains information on bank management practices including case studies of credit management

• Report of The Auditor-General On An Investigation Into The State Bank Of South Australia http://www.audit.sa.gov.au/sbsa93
• The following paper provides a review of Australia’s experience with financial deregulation and review of some relevant issues
• Australian Treasury, “Globalisation: the role of institution building in the financial sector. G-20 Case study: an Australian perspective” http://www.treasury.gov.au/documents/780/HTML/docshell.asp?URL=05_Case_Study.asp