https://ja.m.wikipedia.org/wiki/%E3%83%90%E3%83%BC%E3%82%BC%E3%83%AB%E5%90%88%E6%84%8F
バーゼル合意
バーゼル合意[注釈 1]とは、バーゼルI（英語版） 、バーゼルII（英語版）、バーゼルIII（英語版）など、バーゼル銀行監督委員会（BCBS）が発行した銀行監督合意（銀行規制に関する勧告）のことを指す。
BCBSがスイス・バーゼルにある国際決済銀行に事務局を置いており、委員会が通常そこで会合することが、バーゼル合意と呼ばれるゆえんである。
かつて、バーゼル委員会は、G10プラスルクセンブルグとスペインの中央銀行および規制当局の代表者で構成されていた。 2009年以降、全G20主要国に加え、香港やシンガポールなどの代表的な国際金融センターも加わることとなった（加盟国の全一覧については委員会の記事を参照のこと ）。
委員会は勧告を執行する権限を持っていないものの、ほとんどの加盟国に加え一部の国は委員会の方針に基づき規制を施行する傾向にある。つまり、委員会の勧告の結果としてではなく、国内（またはEU全体）の法律および規制を通じて勧告が実施されるということである。したがって、勧告がされてから、国レベルの法律として実施されるまでの間にはいくらかの時間を要するケースが多い。
関連項目
注釈
外部リンク
- http://www.bis.org ：国際決済銀行
Basel II
Basel II is the second of the Basel Accords, (now extended and partially superseded[clarification needed] by Basel III), which are recommendations on banking laws and regulations issued by the Basel Committee on Banking Supervision.
The Basel II Accord was published initially in June 2004 and was intended to amend international banking standards that controlled how much capital banks were required to hold to guard against the financial and operational risks banks face. These regulations aimed to ensure that the more significant the risk a bank is exposed to, the greater the amount of capital the bank needs to hold to safeguard its solvency and overall economic stability. Basel II attempted to accomplish this by establishing riskand capital management requirements to ensure that a bank has adequate capital for the risk the bank exposes itself to through its lending, investment and trading activities. One focus was to maintain sufficient consistency of regulations so to limit competitive inequality amongst internationally active banks.
Basel II was implemented in the years prior to 2008, and was only to be implemented in early 2008 in most major economies;[1][2][3] the financial crisis of 2007–2008 intervened before Basel II could become fully effective. As Basel III was negotiated, the crisis was top of mind and accordingly more stringent standards were contemplated and quickly adopted in some key countries including in Europe and the US.
Objective
The final version aims at:
- Ensuring that capital allocation is more risk-sensitive;
- Enhancing disclosure requirements which would allow market participants to assess the capital adequacy of an institution;
- Ensuring that credit risk, operational risk and market riskare quantified based on data and formal techniques;
- Attempting to align economic and regulatory capital more closely to reduce the scope for regulatory arbitrage.
While the final accord has at large addressed the regulatory arbitrage issue, there are still areas where regulatory capital requirements will diverge from the economic capital.
The accord in operation: Three pillars
Basel II uses a "three pillars" concept – (1) minimum capital requirements(addressing risk), (2) supervisory review and (3) market discipline.
The Basel I accord dealt with only parts of each of these pillars. For example: concerning the first Basel II pillar, only one risk, credit risk, was dealt with easily while the market risk was an afterthought; operational risk was not dealt with at all.
The first pillar: Minimum capital requirements
The first pillar deals with maintenance of regulatory capital calculated for three major components of risk that a bank faces: credit risk, operational risk, and market risk. Other risks are not considered fully quantifiable at this stage.
- The credit risk component can be calculated in three different ways of varying degree of sophistication, namely standardized approach, Foundation IRB, Advanced IRB. IRB stands for "Internal Rating-Based Approach".
- For operational risk, there are three different approaches – basic indicator approach or BIA, standardized approach or TSA, and the internal measurement approach (an advanced form of which is the advanced measurement approach or AMA).
- For market risk the preferred approach is VaR (value at risk).
As the Basel II recommendations are phased in by the banking industry it will move from standardised requirements to more refined and specific requirements that have been developed for each risk category by each bank. The upside for banks that do develop their bespoke risk measurement systems is that they will be rewarded with potentially lower risk capital requirements. In the future, there will be closer links between the concepts of economic and regulatory capital.
The second pillar: Supervisory review
This is a regulatory response to the first pillar, giving regulators better 'tools' over those previously available. It also provides a framework for dealing with systemic risk, pension risk, concentration risk, strategic risk, reputational risk, liquidity risk and legal risk, which the accord combines under the title of residual risk. Banks can review their risk management system.
The Internal Capital Adequacy Assessment Process (ICAAP) is a result of Pillar 2 of Basel II accords.
The third pillar: Market discipline
This pillar aims to complement the minimum capital requirements and supervisory review process by developing a set of disclosure requirements which will allow the market participants to gauge the capital adequacy of an institution.
Market discipline supplements regulation as sharing of information facilitates the assessment of the bank by others, including investors, analysts, customers, other banks, and rating agencies, which leads to good corporate governance. The aim of Pillar 3 is to allow market discipline to operate by requiring institutions to disclose details on the scope of application, capital, risk exposures, risk assessment processes, and the capital adequacy of the institution. It must be consistent with how the senior management, including the board, assess and manage the risks of the institution.
When market participants have a sufficient understanding of a bank's activities and the controls it has in place to manage its exposures, they are better able to distinguish between banking organizations so that they can reward those that manage their risks prudently and penalize those that do not.
These disclosures are required to be made at least twice a year, except qualitative disclosures providing a summary of the general risk management objectives and policies which can be made annually. Institutions are also required to create a formal policy on what will be disclosed and controls around them along with the validation and frequency of these disclosures. In general, the disclosures under Pillar 3 apply to the top consolidated level of the banking group to which the Basel II framework applies.
Recent chronological updates
September 2005 update
On September 30, 2005, the four US Federal banking agencies (the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation, and the Office of Thrift Supervision) announced their revised plans for the U.S. implementation of the Basel II accord. This delays implementation of the accord for US banks by 12 months.[4]
November 2005 update
On November 15, 2005, the committee released a revised version of the Accord, incorporating changes to the calculations for market risk and the treatment of double defaulteffects. These changes had been flagged well in advance, as part of a paper released in July 2005.[5]
July 2006 update
On July 4, 2006, the committee released a comprehensive version of the Accord, incorporating 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 November 2005 paper on Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework. No new elements have been introduced in this compilation. This version is now the current version.[6]
November 2007 update
On November 1, 2007, the Office of the Comptroller of the Currency (U.S. Department of the Treasury) approved a final rule implementing the advanced approaches of the Basel II Capital Accord. This rule establishes regulatory and supervisory expectations for credit risk, through the Internal Ratings Based Approach (IRB), and operational risk, through the Advanced Measurement Approach (AMA), and articulates enhanced standards for the supervisory review of capital adequacy and public disclosures for the largest U.S. banks.[2]
July 16, 2008 update
On July 16, 2008 the federal banking and thrift agencies (the Board of Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation, the Office of the Comptroller of the Currency, and the Office of Thrift Supervision) issued a final guidance outlining the supervisory review process for the banking institutions that are implementing the new advanced capital adequacy framework (known as Basel II). The final guidance, relating to the supervisory review, is aimed at helping banking institutions meet certain qualification requirements in the advanced approaches rule, which took effect on April 1, 2008.[7]
January 16, 2009 update
For public consultation, a series of proposals to enhance the Basel II framework was announced by the Basel Committee. It releases a consultative package that includes: the revisions to the Basel II market risk framework; the guidelines for computing capital for incremental risk in the trading book; and the proposed enhancements to the Basel II framework.[8]
July 8–9, 2009 update
A final package of measures to enhance the three pillars of the Basel II framework and to strengthen the 1996 rules governing trading book capital was issued by the newly expanded Basel Committee. These measures include the enhancements to the Basel II framework, the revisions to the Basel II market-risk framework and the guidelines for computing capital for incremental risk in the trading book.[9]
Basel II and the regulators
One of the most difficult aspects of implementing an international agreement is the need to accommodate differing cultures, varying structural models, complexities of public policy, and existing regulation. Banks' senior management will determine corporate strategy, as well as the country in which to base a particular type of business, based in part on how Basel II is ultimately interpreted by various countries' legislatures and regulators.[citation needed]
To assist banks operating with multiple reporting requirements for different regulators according to geographic location, there are several software applications available. These include capital calculation engines and extend to automated reporting solutions which include the reports required under COREP/FINREP.
For example, U.S. Federal Deposit Insurance Corporation Chair Sheila Bair explained in June 2007 the purpose of capital adequacy requirements for banks, such as the accord:
- There are strong reasons for believing that banks left to their own devices would maintain less capital—not more—than would be prudent. The fact is, banks do benefit from implicit and explicit government safety nets. Investing in a bank is perceived as a safe bet. Without proper capital regulation, banks can operate in the marketplace with little or no capital. And governments and deposit insurers end up holding the bag, bearing much of the risk and cost of failure. History shows this problem is very real … as we saw with the U.S. banking and S & L crisis in the late 1980s and 1990s. The final bill for inadequate capital regulation can be very heavy. In short, regulators can't leave capital decisions totally to the banks. We wouldn't be doing our jobs or serving the public interest if we did.[10]
Implementation progress
Regulators in most jurisdictions around the world plan to implement the new accord, but with widely varying timelines and use of the varying methodologies being restricted. The United States' various regulators have agreed on a final approach.[11] They have required the Internal Ratings-Based approach for the largest banks, and the standardized approach will be available for smaller banks.[12]
In India, Reserve Bank of India has implemented the Basel II standardized norms on 31 March 2009 and is moving to internal ratings in credit and AMA (Advanced Measurement Approach) norms for operational risks in banks.
Existing RBI norms for banks in India (as of September 2010): Common equity (incl of buffer): 3.6% (Buffer Basel 2 requirement requirements are zero); Tier 1 requirement: 6%. Total Capital: 9% of risk-weighted assets.
According to the draft guidelines published by RBI the capital ratios are set to become: Common Equity as 5% + 2.5% (Capital Conservation Buffer) + 0–2.5% (Counter Cyclical Buffer), 7% of Tier 1 capital and minimum capital adequacy ratio (excluding Capital Conservation Buffer) of 9% of Risk Weighted Assets. Thus the actual capital requirement is between 11 and 13.5% (including Capital Conservation Buffer and Counter Cyclical Buffer).[13]
In response to a questionnaire released by the Financial Stability Institute (FSI), 95 national regulators indicated they were to implement Basel II, in some form or another, by 2015.[14]
The European Union has already implemented the Accord via the EU Capital Requirements Directives and many European banks already report their capital adequacy ratios according to the new system. All the credit institutions adopted it by 2008–09.
Australia, through its Australian Prudential Regulation Authority, implemented the Basel II Framework on 1 January 2008.[15]
Basel II and the global financial crisis
The role of Basel II, both before and after the global financial crisis, has been discussed widely. While some argue that the crisis demonstrated weaknesses in the framework,[3]others have criticized it for actually increasing the effect of the crisis.[16] In response to the financial crisis, the Basel Committee on Banking Supervision published revised global standards, popularly known as Basel III.[17] The Committee claimed that the new standards would lead to a better quality of capital, increased coverage of risk for capital market activities and better liquidity standards among other benefits.
Nout Wellink, former Chairman of the BCBS, wrote an article in September 2009 outlining some of the strategic responses which the Committee should take as response to the crisis.[18] He proposed a stronger regulatory framework which comprises five key components: (a) better quality of regulatory capital, (b) better liquidity management and supervision, (c) better risk management and supervision including enhanced Pillar 2 guidelines, (d) enhanced Pillar 3 disclosures related to securitization, off-balance sheet exposures and trading activities which would promote transparency, and (e) cross-border supervisory cooperation. Given one of the major factors which drove the crisis was the evaporation of liquidity in the financial markets,[19] the BCBS also published principles for better liquidity management and supervision in September 2008.[20]
A recent OECD study[21] suggest that bank regulation based on the Basel accords encourage unconventional business practices and contributed to or even reinforced adverse systemic shocks that materialised during the financial crisis. According to the study, capital regulation based on risk-weighted assets encourages innovation designed to circumvent regulatory requirements and shifts banks' focus away from their core economic functions. Tighter capital requirements based on risk-weighted assets, introduced in the Basel III, may further contribute to these skewed incentives. New liquidity regulation, notwithstanding its good intentions, is another likely candidate to increase bank incentives to exploit regulation.
Think-tanks such as the World Pensions Council (WPC) have also argued that European legislators have pushed dogmatically and naively for the adoption of the Basel II recommendations, adopted in 2005, transposed in European Union law through the Capital Requirements Directive (CRD), effective since 2008. In essence, they forced private banks, central banks, and bank regulators to rely more on assessments of credit risk by private rating agencies. Thus, part of the regulatory authority was abdicated in favour of private rating agencies.[22]
Long before the implementation of Basel II George W. Stroke and Martin H. Wiggers pointed out, that a global financial and economic crisis will come, because of its systemic dependencies on a few rating agencies.[23] After the breakout of the crisis Alan Greenspan agreed to this opinion in 2007.[24] At least the Financial Crisis Inquiry Reportconfirmed this point of view in 2011.[25][26]
See also
References
- Yetis, Ahmet (January 2008). "Regulators in Accord" (PDF). Risk Magazine. London. Archived from the original (PDF) on April 2, 2015. Retrieved March 30, 2015.
- ^ a b "OCC Approves Basel II Capital Rule". occ.gov. November 2007.
This final rule is effective April 1, 2008.
- ^ a b "Basel II – questions and answers". cml.org.uk. Archived from the original on 2011-12-14.
- FRB Press Release: Banking Agencies Announce Revised Plan for Implementation of Basel II Framework
- International Convergence of Capital Measurement and Capital Standards: A Revised Framework
- International Convergence of Capital Measurement and Capital Standards: A Revised Framework: Comprehensive Version
- "OCC: Agencies Issue Final Guidance on Supervisory Review Process (Pillar 2) Related to Implementation of Basel II Advanced Approaches". occ.gov. 2008-07-15.
- Revisions to the Basel II market risk framework
- "Basel II: Revised international capital framework". bis.org. 2004-06-10.
- Sheila Bair. "FDIC: Speeches & Testimony". fdic.gov.
- OCC Notice of Proposed Rulemaking
- FRB: Press Release, June 26, 2008
- "Archived copy" (PDF). Archived from the original (PDF) on 2012-05-22. Retrieved 2012-01-20.
- "Implementation of the new capital adequacy framework in non-Basel Committee member countries: Summary of responses to the 2006 follow-up Questionnaire on Basel II implementation". Bis.org. 2006-09-25.
- "Information Paper: Implementation of the Basel II Capital Framework" (PDF). Archived from the original (PDF)on 2011-11-08. Retrieved 2011-09-27.
- "How New Banking Rules Could Deepen the U.S Crisis". Bloomberg.com. Archived from the original on 2011-11-17.
- "The Basel Committee's response to the financial crisis: report to the G20". Bis.org. 2010-10-19.
- Beyond the Crisis: the Basel Committee's strategic response
- "Global Financial Crisis - What caused it and how the world responded - Canstar". canstar.com.au.
- "Principles for Sound Liquidity Risk Management and Supervision – final document". Bis.org. 2008-09-25.
- "Systemically Important Banks and Capital Regulation Challenges". OECD Economics Department Working Papers. OECD Publishing. December 2011. doi:10.1787/5kg0ps8cq8q6-en.
- M. Nicolas J. Firzli, "A Critique of the Basel Committee on Banking Supervision" Revue Analyse Financière, Nov. 10, 2011, & Q2 2012
- Strategische Unternehmensfuehrung Nr. 1, 1999. Munich, St. Gallen 1999, ISSN 1436-5812
- Frankfurter Allgemeine Zeitung GmbH (22 September 2007). "Alan Greenspan: "Die Ratingagenturen Wissen nicht was sie tun"". FAZ.NET.
- The Financial Crisis Inquiry Report, Official Government Edition, Washington 2011, S XXV.
- The Financial Crisis Inquiry Report, Official Government Edition, Washington 2011, S 20.
External links
- Bank for International Settlements (BIS)
- Basel II: Revised international capital framework
- Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS)
- Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS) (November 2005 Revision)
- Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework, Comprehensive Version (BCBS) (June 2006 Revision)
- Office of the Comptroller of the Currency (United States)
- Agencies Issue Final Guidance on Supervisory Review Process (Pillar 2) Related to Implementation of Basel II Advanced Approaches
- OCC Approves Basel II Capital Rule
- UK government
- Validating Risk Rating Systems under the IRB Approaches, HKMA
- Return of capital adequacy ratio (final version) – Completion instructions, HKMA
- Return Templates of capital Adequacy Ratio, HKMA
- Others
- An academic response to Basel II
- Coherent measures of risk (a widely quoted paper)
- FRB Boston paper on measurement of operational risk
- Daníelsson, Jón. "The Emperor Has No Clothes: Limits to Risk Modelling." Journal of Banking and Finance, 2002, 26, pp. 1273–96.
- Canada Capital Adequacy Requirements OSFI
- A Nontechnical Analysis of Basel I and II
質問バーゼル合意、バーゼルI、II、IIIとは何ですか？ いわゆるBIS規制とは何ですか？
教えて！にちぎん
バーゼル合意とは、バーゼル銀行監督委員会（注1）が公表している国際的に活動する銀行の自己資本比率（注2）や流動性比率等に関する国際統一基準のことです。日本を含む多くの国における銀行規制として採用されています。
バーゼル合意は、1988年（昭和63年）に最初に策定され（バーゼルI）、2004年（平成16年）に改定されました（バーゼルII）。その後、2007年（平成19年）夏以降の世界的な金融危機を契機として、再度見直しに向けた検討が進められ、2017年（平成29年）に新しい規制の枠組み（バーゼルIII）について最終的な合意が成立しました。
なお、バーゼル銀行監督委員会の常設事務局が国際決済銀行（Bank for International Settlements。略して「BIS」と言われます）にあることから、バーゼル合意は「BIS規制」と呼ばれることもありますが、BISとバーゼル銀行監督委員会は別組織のため、「バーゼル規制」がより正しい呼称と言えます。
- （注1）バーゼル銀行監督委員会は、銀行を対象とした国際金融規制を議論する場として、G10諸国の中央銀行総裁会議により設立された銀行監督当局の委員会（第1回会合は1975年に開催）です。現在は、中央銀行総裁・銀行監督当局長官グループを上位機関とし、日本を含む28の国・地域の銀行監督当局および中央銀行により構成されています。
- （注2）自己資本比率は、自己資本を分子、保有資産等のリスクの大きさを示す数値を分母として算出される比率のことで、銀行等の経営の健全性を示す重要な指標の1つです。
バーゼルI
バーゼルIは、国際的な銀行システムの健全性の強化と、国際業務に携わる銀行間の競争上の不平等の軽減を目的として策定されました。これにより、銀行の自己資本比率の測定方法や、達成すべき最低水準（8％以上）が定められました。
わが国では、1992年度（平成4年度）末から、バーゼルIが本格的に適用されました。
バーゼルII
バーゼルIIは、（1）最低所要自己資本比率規制（リスク計測の精緻化）、（2）銀行自身による経営上必要な自己資本額の検討と当局によるその妥当性の検証、（3）情報開示の充実を通じた市場規律の実効性向上、を3つの柱として策定されました。
バーゼルIIでは、達成すべき最低水準（8％以上）はバーゼルIと変わらないものの、銀行が抱えるリスク計測（自己資本比率を算出する際の分母）の精緻化が行われました。わが国では、2006年度（平成18年度）末から（先進的なリスクの計測手法を採用する一部の銀行は翌2007年度末から）バーゼルIIに移行しました。
バーゼルIII
バーゼルIIIは、世界的な金融危機の再発を防ぎ、国際金融システムのリスク耐性を高めることを目的として策定されました。
具体的には、銀行が想定外の損失に直面した場合でも経営危機に陥ることのないよう、自己資本比率規制が厳格化されました。また、急な資金の引き出しに備えるための流動性規制や、過大なリスクテイクを抑制するためのレバレッジ比率規制等が導入されることになりました。規制を設計する際、金融システム全体の安定性を維持するというマクロ・プルーデンスの観点が重視されている点も一つの特徴です。
バーゼルIIIは、わが国を含む世界各国において2013年（平成25年）から段階的に実施されており、最終的には、2028年初から完全に実施される予定になっています。
関連ページ
バーゼルI、II、IIIに関する詳細については、「自己資本規制等」のページをご覧ください。
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