No. 3 - The effects of Basel 2 on Italian banks: results of the 5th quantitative simulation

In 2007 the new framework for capital adequacy of banks (Basel 2), defined in 2004 by the Basel Committee for Banking Supervision, will replace the 1988 Accord (Basel 1) in all major countries. In the last years the Committee has carried out several impact studies in order to simulate the possible quantitative effects of the new discipline. This paper describes the main results of the last survey (Fifth Quantitative Impact Study, QIS5) for the Italian banks included in the sample. The evidence suggests that the new rules should not produce significant effects – on average – on the level of capitalisation of the Italian banking system. For large internationally active intermediaries the capital requirements, calculated with the advanced methodologies, decrease with respect to the current regime; for medium-sized banks the capital requirements slightly increase when calculated with the standardised approach. These results are broadly in line with the evidence for the banks from other European and G10 countries participating in the same exercise.