Academic voices dissatisfaction with Basel II
The Basel Committee on Banking Supervision still has a great deal of work to do before the Basel II capital accord can be successfully implemented at financial institutions, Jacques Pézier, director of the risk management group of the ISMA Centre at the University of Reading in the UK, told delegates at a conference on capital allocation held by the Risk Waters Group yesterday.
Pézier said the Basel II risk assessment methodologies for credit risk and operational risk were still “dubious”. For example, he questioned why the proposals as written required combining expected losses and unexpected losses, as well as linearity and additivity assumptions. He also said that treatment of
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