The Basel Committee on Banking Supervision leaves calibration of Basel II unchanged
The Basel Committee on Banking Supervision (BCBS) has left the calibration of its capital framework at current levels (1.06 scaling factor for risk-weighted assets) based on a review of the most recent quantitative impact study (QIS5).
The calibration is there to ensure that global capital never falls below an unacceptable level, while providing flexibility for financial institutions to apply capital to the individual risks of the firm.
The announcement comes as no surprise, as BCBS chairman Caruana announced that on initial review, nothing in QIS5 would be a cause for concern. “I have seen nothing that would call into question these results,” Caruana said of the study at the beginning of this month.
QIS5 shows capital would
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