Basel Committee proposes a change from standardised approach to simplified alternative approach for market risk

On 29 June 2017, the Basel Committee on Banking Supervision (BCBS) published a consultative document on a simplified alternative to the standardised approach to market risk capital requirements. The simplified approach to market risk capital requirements is aimed at financial institutions which are less active on an international scale and not large in nature. The [...]

Basel Committee proposes a change from standardised approach to simplified alternative approach for market risk2017-07-04T10:00:55+00:00

Constraints and proposed changes in the consultative document on reducing variation in credit risk-weighted assets when using the internal model approaches

The consultative document about reducing variation in credit risk-weighted assets and its constraints on the use of internal model approaches gives insight into the Committee’s proposed alternations. The changes are mainly focused on the advanced internal ratings-based approach and the foundation internal ratings-based approach. A number of proposed changes to this approach include complementary measures, [...]

Constraints and proposed changes in the consultative document on reducing variation in credit risk-weighted assets when using the internal model approaches2016-03-25T09:01:52+00:00

Basel Committee issues proposed revisions to the operational risk capital framework

On March 4th 2016, the Basel Committee on Banking Supervision (BCBS) specified the proposed alternations to the operational risk capital framework, also known as the new Standardised Approach (SMA). The SMA is part of BCBS’s consultation paper which has been issued in October 2014. The suggested alternations of the operational risk capital framework are aimed [...]

Basel Committee issues proposed revisions to the operational risk capital framework2016-03-16T09:52:11+00:00

Revised Market Risk Framework published

The BIS has published on January 14th, 2016 the revised market risk framework,  also referred to as Fundamental Review of the Trading Book (FRTB). The 2007-2008 period of severe market stress exposed weaknesses in the framework for capitalising risks from trading activities. In 2009, the Committee introduced a set of revisions to the Basel II market [...]

Revised Market Risk Framework published2016-01-21T14:46:31+00:00

Review of the Credit Valuation Adjustment (CVA) risk framework – consultative document

A Review of the Credit Valuation Adjustment Risk Framework is being undertaken by the Basel Committee. The objectives of the review are to (i) ensure that all important drivers of credit valuation adjustment (CVA) risk and CVA hedges are covered in the Basel regulatory capital standard; (ii) align the capital standard with the fair value measurement [...]

Review of the Credit Valuation Adjustment (CVA) risk framework – consultative document2015-09-27T18:18:04+00:00