The New Basel Capital Accord: Structure, Possible Changes and Micro- and Macroeconomic Effects. CEPS Reports in Finance and Banking No. 30, 1 September 2002

During the last 12 years, the 1988 Basel Capital Accord dealing with minimum capital requirements for internationally active financial institutions has grown more pervasive, being integrated into national regulations in most advanced countries. Meanwhile, the limitations and drawbacks of the simple rules on which it is based have become increasingly apparent. In other words, the existence of a gap between supervisory requirements and risk-based measures of economic capital has led to forms of regulatory arbitrage (whereby loopholes in the regulation have been exploited to increase the real leverage of a bank without reducing its capital ratios). Paradoxically, the inability of the 1988 protocol to discriminate between investment grade and junk borrowers might also have made some financial institutions more risk-seeking, instead of helping them control their risks. To address such challenges, the Basel Committee on Banking Supervision has been engaged for several years in a revision process that will finally lead to a New Basel Capital Accord (NBCA). Remarkably, the new Accord is not being engineered inside a secluded laboratory by a handful of regulators and financial rocket-scientists, but its contents have been thoroughly discussed by national supervisors, banks and academics. Thus, the NBCA drafting has become a meeting point for many different perspectives: legal experts, accountants, bank managers, central bankers and finance scholars (to name only a few) have been working together, merging their professional backgrounds to make the NBCA more robust in its structure and parameters. This report tries to provide a complete, up-to-date, critical picture of the new Basel approach to bank capital, by summarising its structure and possible changes, and by focusing on some limitations and pitfalls that might deserve further investigation

A forward-looking model for time-varying capital requirements and the New Basel Capital Accord

This paper proposes a forward-looking model for time-varying capital requirements which finds application within the New Basel Capital Accord (NBCA) framework. The model aims at reconciling two somewhat contrasting objectives of the NBCA proposal: introducing risk-sensitive capital requirements and avoiding at the same time procyclical effects. The model rests on the relationship existing between default rates and the business cycle phases and proposes a modelisation of the default probabilities which is based on a business cycle forecast over the credit horizon. The model is applied to US data over the forecasting period 1971-2002: despite a failure in predicting the early nineties recession, the objective of raising the capital requirements in anticipation of a recessions is in general satisfied. The results obtained are interesting as they suggest that there is room for dampening procyclicality of capital requirements even within a risk-sensitive framework.capital requirement; default probability; business cycle; procyclicality

A Fluid Generalization of Membranes

In a certain sense a perfect fluid is a generalization of a point particle. This leads to the question as to what is the corresponding generalization for extended objects. The lagrangian formulation of a perfect fluid is much generalized and this has as a particular example a fluid which is a classical generalization of a membrane, however there is as yet no indication of any relationship between their quantum theories.Comment: To appear in CEJP, updated to coincide with published versio

Endovascular treatment of visceral artery aneurysms and pseudoaneurysms with stent-graft: Analysis of immediate and long-term results

The aim of this study is to analyze the safety and efficacy of stent-graft endovascular treatment for visceral artery aneurysms and pseudoaneurysms. METHODS: Multicentric retrospective series of patients with visceral aneurysms and pseudoaneurysms treated by means of stent graft. The following variables were analyzed: Age, sex, type of lesion (aneurysms/pseudoaneurysms), localization, rate of success, intraprocedural and long term complication rate (SIR classification). Follow-up was performed under clinical and radiological assessment. RESULTS: Twenty-five patients (16 men), with a mean age of 59 (range 27-79), were treated. The indication was aneurysm in 19 patients and pseudoaneurysms in 6. The localizations were: splenic artery (12), hepatic artery (5), renal artery (4), celiac trunk (3) and gastroduodenal artery (1). Successful treatment rate was 96% (24/25 patients). Intraprocedural complication rate was 12% (4% major; 8% minor). Complete occlusion was demonstrated during follow up (mean 33 months, range 6-72) in the 24 patients with technical success. Two stent migrations (2/24; 8%) and 4stent thrombosis (4/24; 16%) were detected. Mortality rate was 0%. CONCLUSION: In our study, stent-graft endovascular treatment of visceral aneurysmns and pseudoaneurysms has demonstrated to be safe and is effective in the long-term in both elective and emergent cases, with a high rate of successful treatment and a low complication rate

Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio

This paper analyses the impact of different credit risk-based capital requirement implementations on banks' need for capital. The capital requirements for an artificially constructed risky loan portfolio are calculated by applying the BIS approach, the two widespread commercial risk-measurement models, CreditMetrics and CreditRisk+, and, finally, an original synthetic model similar to KMV. In the first three cases we closely follow the methodologies proposed by the regulatory or credit risk models. Economic capital requirements for the latter are obtained by means of Monte Carlo simulations. In the context of CreditMetrics, we additionally perform a Monte Carlo-based stress testing of the monetary policy changes reflected in the term structure of interest rates. Our model of KMV type combines the elements of the structural and the reduced-form methods of risky debt pricing, and the possibilities of its numerical solution are outlined.credit risk, economic capital, market risk, New Basel Capital Accord, systemic uncertainty.

Arterial-portal fistula treated with hepatic arterial embolization and portal venous aneurysm stent-graft exclusion complicated by type 2 endoleak.

Intrahepatic arterioportal fistulas may be complicated by portal hypertension. An associated portal venous aneurysm (PVA) may impinge upon adjacent structures or rupture. We present a 65-year-old man with an intrahepatic Intrahepatic arterioportal fistula and 6.4 × 5.8 cm right portal vein aneurysm extending within 0.4 cm of the hepatic margin, associated with pain concerning for impending rupture. The PVA was refractory to transarterial embolization due to recruitment of arterial collaterals. Therefore, it was additionally excluded from the portal vein with a 12 mm × 9.5 cm venous stent graft. Although endovascular therapy thrombosed the aneurysm and improved symptoms, it was complicated by a type 2 endoleak into the PVA

Credit Risk and Bank Lending in the Czech Republic

This project undertakes an empirical analysis in credit risk modeling using a data sample representative of bank lending to the Czech corporate sector. A rating system is constructed using a proprietary database (Creditreform) that provides a solvency index for a large number of Czech firms. Several methods for the calibration and validation of a rating system are described and tested in practice. On the basis of a representative portfolio for Czech industries, systemic predictions of regulatory and economic capital are obtained and compared. The methodologies formulated by the latest Consultative Document of the NBCA (April 2003) and by the Credit Metrics and CreditRisk+ models are applied. The main contributions of this project can be briefly summarized as follows, (a) it shows in an applied manner that input data problems in credit risk modeling can be overcome, (b) it sheds light on regulatory issues that are gaining increasing relevance, and (c) it outlines the most important features of two credit risk models.Credit Risk, Economic Capital, Exchange Rate Exposure, Rating System.

Exploiting Polyhedral Symmetries in Social Choice

A large amount of literature in social choice theory deals with quantifying the probability of certain election outcomes. One way of computing the probability of a specific voting situation under the Impartial Anonymous Culture assumption is via counting integral points in polyhedra. Here, Ehrhart theory can help, but unfortunately the dimension and complexity of the involved polyhedra grows rapidly with the number of candidates. However, if we exploit available polyhedral symmetries, some computations become possible that previously were infeasible. We show this in three well known examples: Condorcet's paradox, Condorcet efficiency of plurality voting and in Plurality voting vs Plurality Runoff.Comment: 14 pages; with minor improvements; to be published in Social Choice and Welfar

Participatory land management planning in biodiversity conservation areas of Lao PDR

The importance of integrating forest conservation and rural development objectives is much better understood today than in the past. Despite an increased understanding such integration in many countries remains poorly supported in terms of co-ordination between government agencies and stakeholders. Environmental degradation and loss of biodiversity conservation areas to competing alternative uses is widespread throughout the world and Lao PDR is no exception. The forest policy in Lao PDR has developed under the framework of international conventions. The protected area system has been established with the aim of conserving healthy and diverse forests. Rehabilitation and reforestation policies are important complements. The former “rules by decree” approach has been replaced by a set of laws and regulations. This thesis presents and discusses a management approach for biodiversity conservation areas in Lao PDR. As part of that, it highlights the significance of appropriate policies and legislation as a base for sustainable management, discusses various interdisciplinary and interactive planning methods tested in case studies, and analyses the utilisation of non-timber forest products as part of a strategy for sustainable management of biodiversity conservation areas. The integration of techniques from social sciences and natural sciences is emphasised to encourage local participation in managing the conservation areas. Participatory Rural Appraisal, simple sampling methods, and remote sensing were used in the studies. A simple simulation model (the Area Production Model) strengthened the inter-action process. The integrated and cross-sectoral approach turned out to be simple, flexible and dynamic. The recognition of non-timber forest products (NTFPs) plays an important role in the conservation and development of protected area management. A literature review was made to gain insight into the research trend in Southeast Asia in terms of tenure rights of NTFPs and the way people utilise them. Quantitative resource assessment is an important part in sustainable management. In a case study, a participatory two-phase sampling approach for cardamom assessment was developed and tested with a promising result

Supporting people with active and advanced disease: a rapid review of the evidence

1.1 Background: the NCSI AAD group The National Cancer Survivorship Initiative (NCSI, 2010) was set up in response to the NHS Cancer Reform Strategy (Department of Health, 2007) as a collaboration between Macmillan Cancer Support, the Department of Health and NHS Improvement, with the goal to achieve a better understanding of the experiences of cancer survivors and to advocate for the provision of services to support them. Within this broad remit, it was recognised that there was a particular group of patients whose needs were commonly neglected; people who were experiencing the ongoing effects of cancer beyond first-line treatment but who were not at end of life. The Active and Advanced Disease (AAD) working group was created to consider issues of relevance to such people. 1.2 Aims of this review This project set out to meet the following aim: To review the literature on selected cancers in order to identify implications for the development of services to support patients experiencing difficulties associated with active and advanced disease