Comments on: Even as Many Continue To Wrestle With Basel II – Do We Now Hear The Distant Clamoring in Regulatory Corridors For Basel III? http://blogs.gartner.com/kristin_moyer/2008/09/24/even-as-many-continue-to-wrestle-with-basel-ii-%e2%80%93-do-we-now-hear-the-distant-clamoring-in-regulatory-corridors-for-basel-iii/ A member of the Gartner Blog Network Sun, 22 Nov 2009 15:51:58 -0500 http://wordpress.org/?v=2.8.4 hourly 1 By: Thomas Martin Weber http://blogs.gartner.com/kristin_moyer/2008/09/24/even-as-many-continue-to-wrestle-with-basel-ii-%e2%80%93-do-we-now-hear-the-distant-clamoring-in-regulatory-corridors-for-basel-iii/comment-page-1/#comment-112 Thomas Martin Weber Fri, 28 Nov 2008 17:08:31 +0000 http://blogs.gartner.com/kristin_moyer/?p=79#comment-112 David refers to the discussions about Basel II short comings which goes back much longer and the crisis just proved the various of the points of critique where not that wrong after all. - the concept of value at risk: determination based on past experience (hypothesis that the recent past repeats near/mid term ) - risk categories and commonly used models with similar shortcomings - szenario based analytics and shortcomings when we exclude extremes - the mentioned missing prescription of approaches to name only a few. Interestingly the more mature Basel II implementation in Europe had not the consequence of a much better risk capability which raised the question how effective the implementation had been. Basel II as well a Solvency II continues to be moves towards the right direction: create transparency, establish processes to manager identified risk and monitoring and reporting. It will demand more restrict parameters. Those parameters will be provided by the various regulators and we as well eventually see more focus on data; data to feed the regulatory process, data to provide real enterprise wide pictures. IT will continue to be the critical sector to enable risk management and support business performance. As we have experienced, events which disrupt whole product groups need to be considered in future and risk appetite and risk mitigation including economic capital requirements require changed approaches. Yes, we should expect more descriptive approaches from the regulator during the coming 24 month David refers to the discussions about Basel II short comings which goes back much longer and the crisis just proved the various of the points of critique where not that wrong after all.

- the concept of value at risk: determination based on past experience (hypothesis that the recent past repeats near/mid term )
- risk categories and commonly used models with similar shortcomings
- szenario based analytics and shortcomings when we exclude extremes
- the mentioned missing prescription of approaches
to name only a few.

Interestingly the more mature Basel II implementation in Europe had not the consequence of a much better risk capability which raised the question how effective the implementation had been.

Basel II as well a Solvency II continues to be moves towards the right direction: create transparency, establish processes to manager identified risk and monitoring and reporting. It will demand more restrict parameters. Those parameters will be provided by the various regulators and we as well eventually see more focus on data; data to feed the regulatory process, data to provide real enterprise wide pictures. IT will continue to be the critical sector to enable risk management and support business performance.

As we have experienced, events which disrupt whole product groups need to be considered in future and risk appetite and risk mitigation including economic capital requirements require changed approaches. Yes, we should expect more descriptive approaches from the regulator during the coming 24 month

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