Follow Us

Follow us on Twitter  Follow us on LinkedIn
 

21 February 2011

BCBS stellt Revisionen der Basel II Marktrisikos vor


Default: Change to:


The Basel Committee for Banking Supervision has released changes to the standardised measurement method, internal models approach, and the supervisory review process for the Basel II market risk framework.


The Revisions to the Basel II market risk framework permit banks meeting certain conditions to calculate specific risk capital charges for the correlation trading portfolio (CTP) using a comprehensive risk modeling (CRM) approach. One of these conditions is that a bank using the CRM approach must conduct, at least weekly, a set of pre-determined stress tests for the CTP encompassing shocks to default rates, recovery rates, credit spreads, and correlations.

The goal of the stress testing standards is to provide estimates of the mark-to-market (MTM) changes that would be experienced by the current CTP in the event of credit-related shocks. The standards encompass both prescribed regulatory stress scenarios and high-level principles governing a bank’s internal stress testing. The prescribed scenarios are not intended to capture all potential sources of stress. Rather, their primary focus is on valuation changes involving large, broad-based movements in spreads for single- name bonds and credit default swaps (CDS), such as could accompany major systemic financial or macroeconomic shocks, and associated spillovers to prices for index and bespoke tranches and other complex correlation positions. In addition to the prescribed scenarios, a bank is expected to implement a rigorous internal stress testing process to address other potential correlation trading risks, including bank-specific risks related to its underlying business model and hedging strategies.


© BIS - Bank for International Settlements

Documents associated with this article

MKTRisk.pdf


< Next Previous >
Key
 Hover over the blue highlighted text to view the acronym meaning
Hover over these icons for more information



Add new comment