There was a revised version of the Accord released on 15 November 2005. The revised version is available from the BIS website.
This is acting
to add in the double defaults paper released in July and also to make
some other changes related to market risk. There are also detail changes
throughout the document.
Pillar 1
The
changes incorporated may be important if you are dealing with credit
risk mitigation techniques including the use of guarantees and / or VaR
modelling (particularly as it relates to repos).
The new paras
284(i) to (iii), 307(i) and (ii) and 435 (i) incorporate the main
changes relating to commercial banks, with credit derivative treatment
varied by the changes to 689. The trading / VaR changes are more spread
out, but 687(i) and (ii) may be of particular interest.
Para 710 on
government-traded paper under standardised has also changed, but the
changes do not look large in an Australian context; AAA to AA- minus
paper is still zero rated.
Pillar 2
Paras
738 and 778, relating to market risk, have been greatly expanded,
adding in a lot more on stress testing and VaR use. Para 772 has been
slightly changed and 777 has had major changes, both relating to credit
and counterparty risk. There does not appear to be any other changes of
any substance.
Pillar 3
There
is a new table 8 in para 826 for disclosures relating to counterparty
credit risk and some detail changes relating to the market risk
disclosures in the old table 10 (now table 11), but no further changes
of any substance.
Note
My compare algorithm was
getting a bit confused towards the end of the document, so this analysis
should be treated as preliminary.
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