Hi,
Some of Basel II team members/consultants will likely still be in constant search for variety of methods in dealing with Pillar 2 requirements.
Fortunately, more and more banking regulators are coming up with their own versions of the high level Pillar 2 guidance provided under Basel 2. Leaders of the pack are still the European regulators, (the British, Dutch, Austrian, Hungarian etc). In particular, Bank of Spain has come up with a more specific ICAAP guideline (2008). Another source is APRA, who issued specific guideline for interest rate risk in the banking book at end 2007. Most elaborate regulatory paper on interest rate risk in the banking book is issued by the Austrian Regulators here. Central Bank of Bahrain and the Reserve Bank of India are examples of regulators in developing countries who have issued their Pillar 2 directive in 2008.
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