Which Basel capital ratio/ CI / etc

[bpdulog]

Hi,

In the materials we are provided with Basel II, Basel II.5, Basel III - so if we are asked to determine whether a capital ratio is adequate are we supposed to assume fully phased in Basel III, meaning to include the countercyclical and other buffers? Also, it seems like Basel II.5 is moving to a 97.5% ES approach - should we just assume this confidence interval for all Basel market risk questions.

If there is none already, I'd like to create a table that maps each regime with each capital adequacy requirement and CI because it is quite confusing.

 

[berrymucho]

Agreed. I ended up preparing such a summary table myself to memorize before the exam. I would anticipate the questions to be explicit and clarify what stage of the phase-in or what proposal (if any) they are considering (some components go up to 2019). Otherwise, personally, I would interpret a generic question like "under the Basel III requirements", assuming that it has been fully rolled out (which is the go forward regime, past the phase-in period). As for a proposals (e.g. FTRB) I would expect the question to mention it explicitly like "under proposal XX". I would not assume a proposal is part of a rule yet.

 

[bpdulog]

Here is mine so far, there are plenty more that still have to be entered....