The Basel Committee on Banking Supervision has reviewed the calibration of the revised capital framework (Basel II). In order to ensure that the review is based on the most recent, high-quality data and to evaluate the impact of the new proposals for the recognition of double default and trading book-related issues, the Committee performed a fifth Quantitative Impact Study (QIS 5) between October and December 2005.

CEBS played a prominent role in the QIS 5 at the EU level and prepared a report, which was submitted to the Commission and the European Banking Committee (EBC) as an input for the discussion of possible changes to the Capital Requirements Directive.

Results of the fifth Quantitative Impact Study (QIS 5)

The Basel Committee provided templates of the QIS 5 workbook and accompanying instructions. In addition, a data quality questionnaire is provided.

• QIS 5 Workbook: XLS (Excel, 9,777 kb) or ZIP (compressed Excel, 1,900 kb)
• QIS 5 Instructions (PDF, 50 pages, 292 kb)
• QIS 5 Data Quality Questionnaire (PDF, 12 pages, 74 kb)
• QIS 5 Frequently asked questions (PDF, updated 19 Sept 2005, 11 pages, 58 kb)

The QIS 5 Workbook and the data quality questionnaire available for download are for information purposes only.

The Capital Requirements Directive deviates in a few, but significant cases from the Basel framework. For the QIS 5 exercise in the EU the Basel workbook had therefore to be adjusted accordingly. CEBS has produced EU specific instructions for these adjustments.

Frequently Asked Questions on QIS 5