The Basel Committee on Banking Supervision today issued Revisions to the minimum capital requirements for market risk for consultation.
Improvements to the capital requirements for trading activities are a key component of the Basel Committee's overall efforts to reform global regulatory standards in response to the global financial crisis.
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