In January 2016, the Basel Committee issued revised Minimum capital requirements for market risk. This global standard includes a standardised approach which is used by banks other than those that are large and internationally active. The consultative document published today sets out a simplified alternative to the sensitivities-based method (SbM), which is the primary component of the standardised approach, and proposes a reduced sensitivities-based method that would:
-
remove capital requirements for vega and curvature risks;
-
simplify the basis risk calculation; and
-
reduce risk factor granularity and the correlation scenarios to be applied in the associated calculations.
Use of the proposed reduced SbM would be subject to supervisory approval and oversight, and would be available only to banks that meet certain qualitative and quantitative criteria.
The Committee is also seeking feedback on whether retaining a recalibrated version of the Basel II standardised approach to market risk would better serve the purpose of including a simplified method for market risk capital requirements in the Basel framework.
The Committee welcomes comments on all aspects of this consultative document and the proposed standards text. Comments on the proposals should be uploaded here by Wednesday 27 September 2017.
Press release
Full publication
© BCBS (BIS)
Key
Hover over the blue highlighted
text to view the acronym meaning
Hover
over these icons for more information
Comments:
No Comments for this Article