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Basel Iii

In: Business and Management

Submitted By jannou
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Des facteurs globaux et spécifiques
En route vers Bâle III
Facteurs macroéconomiques
1
Abondance de liquidité
Faiblesse des taux d’intérêt
Mauvaise gestion du risque
2
Complexité des produits financiers structurés
Sous-estimation des chocs extrêmes (stress tests)
Difficulté à localiser les risques de crédits (disséminés ou non)
Prise en compte limitée du risque hors bilan
Croissance explosive des marchés des produits dérivés du crédit
Modalités d’octroi du crédit
Rôle des agences de notation
3
Réduction de la perception du risque
Défaillance dans la méthodologie de notation
Conflits d’intérêts
Manque de gouvernance
4
Lacunes dans la gouvernance d’entreprises (manque de connaissance des directions bancaires sur de nouveaux produits)
Systèmes de rémunérations incitant les prises de risque excessifs
Peu d’attention portée à la liquidité des marchés
Autorités de réglementation trop focalisées sur la surveillance microprudentielle et pas assez sur les risques macrosystémiques
Crise financière
Conditions de marché
5
Procyclicité
Intensification des problèmes de liquidité
Manque de transparence sur le marché
Crise de confiance
Constats
Sous-estimation de certains risques et surestimation de la capacité à les gérer
Illusion du soulagement de la diffusion du risque par la titrisation
Modélisation trop basée sur des historiques de données récents et des bonnes conditions de marché incapacité à réagir face à des chocs extrêmes
Préconisations
Augmenter les exigences en fonds propres (notamment en période de conjoncture économique favorable)
Utilisation quasi-exclusive des modèles de risques internes
Modèles, méthodologies et nouveaux produits financiers complexes parfois peu assimilés par les membres des conseils d’administration
Accorder une plus grande importance au jugement humain et veiller à une meilleure compréhension de la gestion des risques à travers le renforcement du critère d’honorabilité et de compétence des instances de direction
Tendance à l’intensification de la prise de risque en période de forte croissance de la demande de crédit
Modèles statistiques comme la Value at Risk (VaR) qui sont procycliques car basés sur des périodes trop courtes pour prendre en compte correctement l’évolution des prix du marché
Réduire la procyclicité, en encourageant le provisionnement dynamique
La titrisation a donné une nouvelle dimension au problème de la liquidité, ce qui n’est pas suffisamment pris en compte par le cadre actuel
Difficulté pour les autorités de réglementation de déterminer le juste niveau de liquidité
Exigences de fonds propres parfois insuffisantes vis-à-vis des véhicules hors bilan
Introduire des normes plus strictes en ce qui concerne la gestion des liquidités et les éléments hors bilan
La réforme du Capital Requirement Directive – CRD II
En réponse à la crise, les ministres des Finances du G7 ainsi que les Gouverneurs de Banques Centrales ont demandé en Avril 2008 un renforcement des règles prudentielles appliquées aux Banques. Ce renforcement passe par une révision de la Directive sur les exigences de fonds propres, soit la CRD II
Les principaux changements proposés par la CRD II portent sur :
1) L’amélioration de la gestion des risques des instruments titrisés : Les entreprises qui reconditionnent des créances pour les proposer en tant que titres négociables (les «initiateurs») devront conserver 5% des titres qu’elles vendent dans leur bilan
2) Le renforcement du contrôle des grands risques (exposition sur une unique contrepartie) à travers la redéfinition des limites
3) L’amélioration de la coopération des superviseurs nationaux (création de collèges) afin de garantir un meilleur contrôle des groupes bancaires transfrontaliers
4) L’harmonisation de la définition des fonds propres au niveau européen en révisant les critères d’éligibilité des capitaux hybrides dans les capitaux propres des banques…...

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