BASEL II: PROBLEMS AND USAGE

the MaRisk were already published in 2005 also contributed to the easier
implementation of Basel II, as German banks had sufficient time to adapt
their risk management systems to the new requirements. Although the
Basel II regulations were completely transformed into national law, several
adjustments were made in order to take into account the special structure of
the German banking system and to protect small and medium-sized banks.
Since January, 2007, all banks in Germany are obliged to determine
their minimum capital requirement in accordance with the new regulations.
The application of the most sophisticated approaches is only permitted
since January 2008 and requires a supervisory approval. However, only
relatively few banks have chosen the sophisticated Internal Ratings Based
Approach (IRBA) and the Advanced Measurement Approach (AMA) to
measure their credit and operational risk capital requirements. In January
2009, only three percent of all German banks applied the IRBA; less than
one percent has committed themselves to the AMA.
This is not surprising, as there is no commonly accepted technique for
the internal estimation of operational risk. Moreover, the practical estimation
of operational risk losses as well as the model validation face the challenge
of limited data availability. Consequently, the advanced approaches
are predominantly used by large and internationally active banks. For small
and medium-sized banks the effort necessary to apply these approaches
outweighs the benefits of using them. Therefore, this category of banks applies
the less demanding techniques for determining their minimum regulatory
capital.
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1. Bundesanstalt für Finanzdienstleistungsaufsicht (2006): Jahresbericht der
BaFin.
2. Bundesanstalt für Finanzdienstleistungsaufsicht (2007): Jahresbericht der
BaFin.
3. Bundesanstalt für Finanzdienstleistungsaufsicht (2009): BaFin: Structure,
Organization, and Funding.
4. Bamber, D. (1975): The Area above the Ordinal Dominance Graph and
the Area below the Receiver Operating Characteristic Graph, Journal of
Mathematical Psychology 12, 387–415.
5. Beinert, C.; Reichling, P.; Vogt, B. (2007): The Discriminative Power of
Rating Functions, Banks and Bank Systems 2, 32–39.
6. Deutsche Bundesbank (2006): Ergebnisse der fünften Auswirkungsstudie
zu Basel II in Deutschland, Frankfurt am Main.
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