Publication Date
Basel III is coming into focus. The fundamental logic of the regulatory changes seems sensible, but the devil is in the detail – empirical implementation. This opinion piece discusses a detailed quantitative study, incorporating analytical calculations, Monte Carlo simulations and results from observed data. It concludes that the Basel Committee has taken three and a half steps backwards and half a step forward. If implemented, the framework is likely to lead to less robust risk forecasts than current methodologies.
