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Preface ix
Acknowledgments xiii
1 Introduction 1
Summary of Argument 5
Outline of the Book 7
A Note on Timing 13
2 Role of Capital Regulation 15
Rationale for Capital Regulation 16
Evolving Role of Capital Regulation 29
Conclusion 42
3 Basel I 45
Origins of the Accord 45
Elements of the Accord 54
Assessment of Basel I 64
Conclusion 84
4 Negotiating Basel II 87
Launching the Review Process 87
Curious Release of the First Consultative Paper 93
Shift to an Internal Ratings–Based Approach 104
Process of Continuous Revision 113
Revised Framework 122
Responding to the Subprime Crisis 131
Conclusion 135
5 Assessing Basel II as a Regulatory Model 139
Do Regulatory Capital Requirements Matter? 141
Potential Benefits of the Advanced Internal Ratings–
Based Model 150
Potential Negative Effects of the Advanced Internal
Ratings–Based Model 177
Conclusion 189
Appendix 5A 191
6 Basel II as an International Arrangement 195
Safety and Soundness 197
Competitive Equality 209
Cooperative Supervision of Multinational Banks 214
Indirect Benefits 222
Conclusion 223
7 Alternatives to Basel II 225
Retaining a Standardized Approach 226
Market Discipline: Mandatory Subordinated Debt 231
Precommitment Approach 246
Establishing an International Supervisory Role 251
Eliminating International Cooperation on Safety
and Soundness 255
Conclusion 256
8 Conclusions and Recommendations 259
Recommendations 262
Implications Beyond Capital Regulation 279
References 285
Index 299
Tables
Table 2.1 US bank capital ratios, 1970–81 32
Table 3.1 The world’s 10 largest banks, 1974, 1981, and 1988 47
Table 3.2 Capital ratios of selected large banks, 1981 and 1988 48
Table 3.3 Credit conversion factors for off-balance-sheet
items in Basel I 60
Table 3.4 Capital charges for debt instrument market risks
in the Basel Committee 1993 proposal 62
vi
Table 4.1 External agency ratings and risk weights in
the first consultative paper 95
Table 4.2 Results of second quantitative impact study
change in capital requirements under second
consultative paper proposals 112
Table 5.1 Capital ratios for 10 largest US banks as of
December 31, 2003 147
Table 5A.1 Risk-weighted capital (RWC) ratios of
10 largest US banks, 1992–2006 191
Figure
Figure 2.1 Equity as a percent of assets for all insured
commercial banks, 1840–1989 31
Boxes
Box 1.1 Basel Committee on Banking Supervision 2
Box 1.2 Bank for International Settlements 4
Box 3.1 Definition of capital in Basel I 57
Box 3.2 Risk-weight categories in Basel I 58
Box 4.1 Basel Committee proposals in the first
consultative paper 94
Box 4.2 Changes proposed in the second
consultative paper 106
Box 4.3 Key principles of supervisory review
in the second consultative paper 109
Box 4.4 Areas of public disclosure by banks
in the second consultative paper 110
Box 4.5 Proposals issued between the second
and third consultative papers 115
Box 4.6 Basel Committee proposals between the
third consultative paper and the final
revised framework 122
Box 4.7 Outline of revised framework (Basel II) 124
Box 4.8 Proposed changes to Basel II following
the subprime crisis 134
Box 6.1 High-level principles for Basel II
implementation 220
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