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De Bâle II vers Bâle III : les enjeux et les problèmes du nouvel Accord

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  • Michel Dietsch

Abstract

[eng] From Basel II to Basel III : challenges and issues of Basel capital reform . The Cooke ratio reform became essential to stop the arbitrage phenomenon and its destabilizing effects on the banking system. The author explains the foundations of the Basel capital reform. The Basel committee based its analysis on recent developments of credit risk model to fund the new ratio. The author exposes the interest of credit risk models in calibrating Basel II ratio. He highlights last issues and analyses interest of internal rating systems. . JEL classifications : G21, G28 [fre] La réforme du ratio Cooke devenait nécessaire pour stopper l'importance du phénomène d'arbitrage et la menace qu'il représente pour la stabilité du système bancaire. L'auteur revient ainsi sur les raisons qui ont motivé la réforme du ratio de capital et les fondements de Bâle II. Pour concevoir le nouveau ratio, le Comité de Bâle a tiré parti des développements récents des modèles de risque de crédit. L'auteur expose ici l'apport des modèles de risque de crédit dans le calibrage des formules de Bâle II. Puis, il met en lumière les problèmes encore en suspens avant d'analyser l'intérêt des modèles internes. . Classification JEL : G21, G28

Suggested Citation

  • Michel Dietsch, 2003. "De Bâle II vers Bâle III : les enjeux et les problèmes du nouvel Accord," Revue d'Économie Financière, Programme National Persée, vol. 73(4), pages 325-342.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2003_num_73_4_5025
    DOI: 10.3406/ecofi.2003.5025
    Note: DOI:10.3406/ecofi.2003.5025
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    References listed on IDEAS

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    1. Michel Dietsch, 2004. "Should SME exposures be treated as retail or corporate exposures: a comparative analysis of probabilities of default and assets correlations in French and German SMEs," ULB Institutional Repository 2013/14164, ULB -- Universite Libre de Bruxelles.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    3. Dietsch, Michel & Petey, Joel, 2004. "Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 773-788, April.
    4. Dietsch, Michel, 2003. "Financing small businesses in France," EIB Papers 9/2003, European Investment Bank, Economics Department.
    5. Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
    6. Michael B. Gordy, 2000. "Credit VAR and risk-bucket capital rules: a reconciliation," Proceedings 685, Federal Reserve Bank of Chicago.
    7. Mark S. Carey & William F. Treacy, 1998. "Credit risk rating at large U.S. banks," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), vol. 84(Nov), pages 897-921, September.
    8. Jones, David, 2000. "Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 35-58, January.
    9. Michel Dietsch & Dominique Garabiol, 2004. "Du caractère pro-cyclique du nouveau ratio de capital: une analyse empirique sur données françaises," ULB Institutional Repository 2013/14166, ULB -- Universite Libre de Bruxelles.
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    Cited by:

    1. Mohamed Oudgou & Abdeslam Boudhar, 2023. "The bank–SME relationship and rationing risk reduction: an empirical study on survey data," SN Business & Economics, Springer, vol. 3(8), pages 1-39, August.

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    More about this item

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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