The proposals aim to address issues that the Basel Committee has identified in the course of monitoring the implementation and impact of the market risk standard issued in January 2016: Minimum capital requirements for market risk.
The proposed changes include:
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changes to the measurement of the standardised approach to enhance its risk sensitivity, including changes to FX risk;
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recalibration of standardised approach risk weights applicable to general interest rate risk, FX risk and equity risk;
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revisions to the assessment process to determine whether a bank's internal risk management models appropriately reflect the risks of individual trading desks;
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clarifications on the requirements for identification of risk factors that are eligible for internal modelling; and
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clarifications on the scope of exposures that are subject to market risk capital requirements.
In addition, following the Committee's consultation in June 2017 on a simplified alternative to the standardised approach, this consultative document proposes a recalibration of the Basel II standardised approach for banks with less material market risk exposure.
The Committee welcomes comments on the consultative document by Wednesday 20 June 2018.
Press release
Revisions
January‘s issue
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