.

:
H

16 2010,
.
, , ,
-
, , - ,
.
, ,
:
()  .
()  ,

( ), ,
, - - .
() , ,
.

, 2011, ()
( ). ,
, ,
.
521

ENO Z:

.


1.


16 2010, (Basel Committee on
Banking Supervision, )1 :
Basel

III: A global regulatory framework for more resilient banks and banking systems,2

Basel

III: International framework for liquidity risk measurement, standards and monitoring.3

2008,
(2007-2009).4 ,
, , /
, . , 13 2011,
, : Basel Committee issues final elements of the reforms to raise
the quality of regulatory capital.5
, (
) , ,
.6
, , :


- , ,

, - , ( ) , , , .

- (financial macro-prudential
policies), - ,
, ,

 , Herring and Litan (1995), . 95-113, Norton (1995), . 171-243,

Walker (2001), . 17-162, (2006), . 259-307, Giovanoli (2010), . 25-26.

Basel Committee on Banking Supervision (2010a): December, http://www.bis.org/publ/bcbs189.htm.

Basel Committee on Banking Supervision (2010b): December, http://www.bis.org/publ/bcbs188.htm.

 ( ) ,
2007-2009.

Basel Committee on Banking Supervision (2011a), http://www.bis.org/press/p110113.htm.

 , (,
) : http://www.bis.org/bcbs/fincriscomp.htm.

522

.7 -
:
()  (time-dimension),
. , -

(procyclicality),
,
.8
()  (cross-sectional dimension),
. ,
- ,
:
l


,
 (interconnectedness) ( ), (systemically important financial
institutions).9

, , ,
-
. , novum ,
- . ,
Hannoun enhanced Basel II plus a macro-prudential overlay.10
, ,
. , : Revisions
to the Basel II market risk framework ( , , )11
o , , , .
,
, 2012, (
)
2006/48/ 2006/49/,
.

 , , Committee on
the Global Financial System (2010a), Galati and Moessner (2011), Financial Stability Board, International Monetary Fund and Bank for
International Settlements (2011), , (2011) (
).


, Basel Committee on Banking Supervision (2011c) Galati and Moessner (2011), 5.2.

 (
SIFIs), Huertas and Lastra (2011), . 255-258.

10

Hannoun (2010), . 9.

11

Basel Committee on Banking Supervision (2011b), February, http://www.bis.org/publ/bcbs193.htm.

523

ENO Z:

2.
2.1
( ) ( ),
( , 2.2).
, -
, 1980,


, 1988 ,12
2004 ,13 , , .14

2.2

2010
, :


(
- ),

- ,

( - ),

.15

, 2007,
, ,16

.
,
. :
()  ,
,

12

 asel Committee on Banking Supervision (1988): International convergence of capital measurement and capital standards, July,
B
http://www.bis.org/publ/bcbsc111.htm.

13

 asel Committee on Banking Supervision (2004): Basel II: International Convergence of Capital Measurement and Capital Standards,
B
A Revised Framework, June, http://www.bis.org/publ/bcbs107.htm.

14

 , 2006, : International

Convergence of Capital Measurement and Capital Standards, A Revised Framework - Comprehensive Version, June, http://www.bis.
org/publ/bcbs128.htm. , Gleeson (2010).
, (2006), . 298-299, 304-305 306-307, Sigrist (2006), Macht (2007), . 67-100.

15

 , , , Borio
(2008), Calomiris (2008), Eichengreen (2008), Goodhart (2009), . 2-29, Posner (2010), . 13-245, Lastra and Wood (2010), .
537-545, Tirole (2010), . 11-47, - (2010), . 167-294, (2011), . 32-51.

16

 (investment banks) ,
, shadow banking system,
. , , Posner (2010), . 55-60, Tirole (2010), . 24-26.

524

.
, .
, ,
, , ,
(regulatory capital arbitrage),
.17
() , .
, (liquidity phase) , ,
, .
.
, , (
) . ,
.

, (unconventional monetary policies).18
()  , , ,
, . ,
,
( ),
,19 :
l

 ,
,
 ,
. 20

2.3
, ( ,
) .
, 2008, , :


, ,

17

 Tirole (2010), . 19-21 28-32, Goodhart (2010), . 7-8. , , Albertazzi et. al. (2011).

18

 Committee on the Global Financial System (2008), Borio and Disyatat (2009).
, Allen and
Moessner (2010).

19

 ( Lastra and Wood (2010), . 539).

20

 Tirole (2010), . 32-33, Goodhart (2010), . 8, Basel Committee on Banking Supervision (2011c), . 31-33,

525

ENO Z:

,
. 21
, .

, , ,22 (
) / 23 (
24).
, , , , , .25
. , , (
) . 26
, , , . ( ) ,
, , ( ),
.

. :
1.
1.1
, :
() 
( ), ( , 1.2).
()  ,
:
l

21

 -, ,
( 1.3.1), 27
 - (
1.3.2).

Basel Committee on Banking Supervision (2010a), . 151.

22

 , , (2011), . 51-58.

23

 , Panetta et. al. (2009).

24

 ( Claessens, Herring and Schoenmaker (2010), .

51-53).

25

 . (

) , (2011), . 231-238 ( ).

26

 , , (2011), . 58-73 (2011), . 238-245.

27

, - .

526

, 1 2013 1 2019 (
). ,
4 .

1.2


1.2.1


. , 2.

1.2.2 28

. ,

( ), , .., - , ,
.
, :
()  ,
,
(credit rating agencies), .
()  ,
,
IOSCO, 2008,
(Code of Conduct Fundamentals for Credit Rating Agencies,
Report of the Technical Committee). 29

1.3
1.3.1 -
1.3.1.1 30
,
.
(
(deleveraging) ), ,
(

28

Basel Committee on Banking Supervision (2010a), . 97-121.

29

 : http://www.iosco.org/library/pubdocs/pdf/IOSCOPD271.pdf.

30

Basel Committee on Banking Supervision (2010a), . 151-164.

527

ENO Z:

),
( backstop measure).
, 3%, :


( 31),

, , ,
( )
( ),

.
1.3.1.2 32
(liquidity ratios):


, [liquidity coverage ratio, LCR,

()],

, [net stable funding ratio,

NSFR, ()].

()
, , .
, 100%, :


(30) ,

.
()
:
() 

(liquidity mismatch).
() , ,
( ),
.
, 100%, :


31

 , 2.1.2.

32

Basel Committee on Banking Supervision (2010b), . 16-186.

528

()

, :


(contractual maturity mismatch),

(concentration of funding),

(available unencumbered assets),




(LCR by significant currency),

(market-related monitoring tools).

,
.

1.3.2 -
1.3.2.1

- .
:
()  , . , :
(i)  , , (capital
conservation buffer) ( , 1.3.2.2),
(ii)  , , () (countercyclical buffer) ( 1.3.2.3),
(iii)  (forward-looking provisions)
,33
(iv)  .34
() ,
. , ,

( , 1.2.2),
.
1.3.2.2 35
,
(capital conservation buffer),

33

Basel Committee on Banking Supervision (2010a), . 23-25.

34

 (4) - .
31 (ibid).

35

Ibid, . 123-132.

529

ENO Z:

. ( )
, , .
, 2,5%
( ):


(
36),

, ,
.

,
, , bonuses
.
1.3.2.3 37
, ,
, (countercyclical capital buffer),
, , - .

,
. , :


,
,

( )
,
.

, , 0% 2,5% (
). :


( ) ,

, , ( ).

, ( ) , (
( ) ).

36

 , 2.1.2.

37

Basel Committee on Banking Supervision (2010a), . 136-149.

530

2. :

38

2.1
2.1.1


. ,
, ()

, , .
, , , :
()  ,
(minimum capital) , :
l

 (Tier 1 Capital), , ,
( , 2.1.2), ( , 2.2),
 (Tier 2 Capital, 2.1.3).

, (Tier 3 Capital), , ,
,39 .
()  ,
.

2.1.2
,
:


(common equity Tier 1 capital, 2.1.2.1),

(additional Tier 1 capital, 2.1.2.2).

2.1.2.1
:
()  ( ), ,
.40
()  (retained earnings), .

38

Ibid, . 48-93.

39

 (Basel Committee on Banking Supervision (2006),

. 49 (xiii)-(xiv)).

40

 (.., ), .

531

ENO Z:

()  (disclosed reserves).
()  , ,
(minority interest).
()  .
2.1.2.2
:
()  , , :
l

 ,

 ,

 ,


(step-up clause), (redeem clause),
 , .

( 1)
13 2011,

( , 2.1.3), , , ,
(loss absorbency).
()  ,
,
, .
()  .
, :
(i) 
, ,
(ii)  (innovative instruments) , ,
15% 41 .

2.1.3
:
()  , ,
[ 2.1.2.2 ()] ,
, .

41

Basel Committee on Banking Supervision (2006), 1.

532

()  ,
,
, .
() 
.
()  (general provisions/general loan-loss reserves),
, , .
, (undisclosed reserves),

(revaluation reserves), , ,
,42 .

2.1.4

,
. , ,
.

2.2

, :
()  4,5%
.
()  6,0% ( 4,0%
).
()  ( )
8,0%
. , ,
2%.
, , ( , , ) 1,25%
,
.

42

Ibid, . 49 (iv)-(vi).

533

ENO Z:



(*)
( )

1.
( 1.1.2015)

4,5%
( 2%)

6,0%
( 4%)

8,0%
()

2.

( 1.1.2019)

2,5%
()

3. 1 2
( 1.1.2019)

7,0%

8,5%

10,5%

( 1.1.2019)

0 - 2,5%
()

(*)  2%

.
1.
( ) ,
2013 ,
,
, . , :
()  , , , , , .
( ),
. , , .
() , ,
,
( , 2).
534

2.
[ 1()]
, (

).43 ,

.
, , ,
, ,
. ( )
(overregulation),
(
). 44
, , () ,
:
() K , , ,

. ,

( - , ),
.45
() ,
( ),
,
,
.

( ) , 2% ,
. , in extremis, ! 46

43

 , Jochen Sanio, Bafin ( ),

low return industry (Sanio (2011), . 39).

44


, (2009).

45

 Basel Committee on Banking Supervision (2010d): Results

of the comprehensive quantitative impact study, December, http://www.bis.org/publ/bcbs186.htm. , , Angelini et. al.
(2011), Slovik and Courne` de (2011).

46

 Sanio (2011), . 39.

535

ENO Z:

,
, , ,
:


, , /

,
.

() ,
:
l

 ,
,
( shadow banking system, , ,
), ,

.

(
), ,
.

3.
, ,
.47 , , ,
( , ),
.
, , , ,
( , ,
).
.48

47

 Giovanoli (2000), . 33-44, Boyle and Chinkin (2007), . 211-229, Stein-von Buttlar (2009), . 150.

48

 .
, .

536

, . . (2009),
, , 2, ,
, . 215-223.
, . . (2006), , : , . .
. . : , , . 1,
, , , . 259-307.
, . . (2011), : ,
: , . . . . ():
: ;, , , . 229-266.
, . - . (2010),
: 2007-2008, Gutenberg, .
, . . (2011), : ,
, , , : , . . . . ():
: ;, ,
, . 31-128.
, . . (2011),
, : , . . . . ():
: ; , , . 325-379.

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