539:(i.e. as opposed to VaR) at a 97.5% quantile, with differentiated “liquidity horizons” for five categories of instruments (standard 10 days previously); the expected loss is calibrated to the one-year period of the most severe stress since 2005. For non-modellable risk factors, those where appropriate data does not exist,
497:
As for other Basel frameworks, the
Standardised Approach is directly implementable, but, at the same time, carries more capital; whereas the Internal Models approach, by contrast, carries less capital, but the modelling is more complex. More specifically, the calculations incorporate the above
518:. A capital charge is calculated here for three correlation scenarios, multiplying the sensitivities by supervisory risk-weights, and then applying rules for trade-by-trade and then overall aggregation, with the largest finally used. (ii) A default risk charge, capturing any
448:, usually customer loans, and deposits from retail and corporate customers; important since the "vast majority of losses were from trading books during the 2008 crisis"
198:
506:, the mimimum capital requirement is the sum of three components: (i) Sensitivities-based capital, for seven risk classes, which reflects linear risks via their
477:
FRTB additionally sets a "higher bar" for banks to use their own, internal models for calculating capital, as opposed to the standardised approach. Here, for a
412:
in
October 2013. Following feedback received on the consultative document, an initial proposal was published in January 2016, which was revised in January 2019.
176:
397:
543:
are used as a proxy. Capital requirements are calculated on the level of trading desks and are aggregated for the whole trading book. To this is appended a
383:
341:
81:
259:
428:
363:
225:
41:
725:
696:
638:
567:
422:
220:
171:
865:
405:
883:
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792:
808:
334:
317:
264:
908:
573:
232:
898:
327:
254:
208:
71:
66:
836:
588:
540:
144:
780:
903:
519:
515:
371:
193:
139:
857:
655:"Fundamental review of the trading book: A revised market risk framework - consultative document"
536:
452:
445:
879:
861:
721:
692:
634:
511:
507:
471:
282:
249:
875:
123:
110:
105:
768:
287:
181:
159:
154:
522:. (iii) A residual risk add-on, appended for other market risks not captured, such as
892:
486:
482:
456:
46:
544:
523:
478:
460:
441:
437:
186:
114:
444:": i.e. assets intended for active trading; as opposed to assets expected to be
387:
367:
308:
215:
166:
625:
481:
to qualify for the internal models approach, its model must pass two tests: a
292:
464:
393:
149:
61:
17:
712:
683:
401:
56:
740:
654:
101:
51:
754:
742:
International
Convergence of Capital Measurement and Capital Standards
756:
An internal model-based approach to market risk capital requirements
627:
Explanatory note on the minimum capital requirements for market risk
420:
The FRTB revisions address deficiencies relating to the existing
119:
832:
804:
242:
237:
854:
Basel III Modelling: Implementation, Impact and
Implications
603:
837:
Basel IV: Revised
Internal Models Approach for Market Risk
606:. The Basel Committee on Banking Supervision. 28 June 2011
769:"Boundary between the trading book and the banking book"
809:
514:(for options) risk factors, and non-linear risks via
872:
535:approach, the mimimum capital requirement uses
831:For an overview of the calculations, see, e.g.,
803:For an overview of the calculations, see, e.g.,
720:. Basel Committee on Banking Supervision. 2019.
691:. Basel Committee on Banking Supervision. 2016.
633:. Basel Committee on Banking Supervision. 2019.
396:, is one of the initiatives taken to strengthen
463:under stress; thus ensuring that banks capture
771:, Basel Committee on Banking Supervision, 2020
759:. Basel Committee on Banking Supervision, 1995
745:. Basel Committee on Banking Supervision, 2006
590:Fundamental Review of the Trading Book (FRTB)
335:
8:
714:Minimum capital requirements for market risk
685:Minimum capital requirements for market risk
569:Minimum Capital Requirements for Market-Risk
33:International regulatory standards for banks
852:Ioannis Akkizidis, Lampros Kalyvas (2018).
584:
582:
342:
328:
26:
384:Basel III: Finalising post-crisis reforms
432:and particularly revisit the following:
557:
300:
274:
131:
93:
29:
400:, noting that the previous proposals (
364:Basel Committee on Banking Supervision
356:Fundamental Review of the Trading Book
42:Basel Committee on Banking Supervision
870:Sanjay Sharma, John Beckwith (2018).
563:
561:
7:
498:outlined enhancements, as follows.
388:Market risk § Regulatory views
493:Calculation of capital requirements
25:
821:MAR 30: Internal models approach
604:"The Basel Committee - overview"
362:), is a set of proposals by the
408:. It was first published as a
1:
793:MAR 20: Standardised approach
406:financial crisis of 2007–2008
392:The reform, which is part of
318:Business and Economics Portal
275:Pillar 2: Supervisory review
132:Pillar 1: Regulatory capital
574:International Monetary Fund
483:profit and loss attribution
301:Pillar 3: Market disclosure
925:
436:The boundary between the "
381:
429:Internal models approach
404:) did not prevent the
526:and behavioural risk.
504:Standardised Approach
423:Standardised approach
410:Consultative Document
382:Further information:
520:jump-to-default risk
398:the financial system
909:Capital requirement
372:capital requirement
140:Capital requirement
858:Palgrave Macmillan
537:expected shortfall
472:market illiquidity
453:expected shortfall
727:978-92-9259-237-0
698:978-92-9197-416-0
640:978-92-9259-236-3
352:
351:
34:
16:(Redirected from
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541:stress scenarios
446:held to maturity
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283:Economic capital
250:Operational risk
32:
30:Basel Framework
27:
21:
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899:Bank regulation
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124:Risk management
111:Monetary policy
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457:value at risk
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145:Capital ratio
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47:Basel Accords
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43:
40:
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38:
37:
28:
19:
871:
853:
847:Bibliography
827:
816:
799:
788:
781:Banking book
776:
764:
755:
750:
741:
736:
713:
707:
684:
678:
666:. Retrieved
661:
649:
626:
620:
608:. Retrieved
598:
589:
568:
545:default risk
532:
503:
496:
476:
470:The risk of
442:banking book
438:trading book
427:
421:
419:
416:Key features
409:
391:
359:
355:
353:
260:Standardized
221:Standardized
115:Central bank
76:
18:Banking book
904:Market risk
662:www.bis.org
485:test and a
455:instead of
451:The use of
440:" and the "
374:for banks.
368:market risk
216:Market risk
167:Credit risk
893:Categories
876:Risk Books
593:. risk.net
552:References
531:Under the
502:Under the
378:Background
366:for a new
309:Disclosure
293:Legal risk
106:Regulation
94:Background
839:, pwc.com
811:, pwc.com
516:curvature
465:tail risk
394:Basel III
370:-related
62:Basel III
835:(2016).
807:(2016).
668:17 April
524:gap risk
487:backtest
402:Basel II
57:Basel II
610:5 April
547:charge.
233:CVA vol
102:Banking
82:Endgame
52:Basel I
882:
864:
724:
695:
637:
576:, 2016
467:events
243:SA-CVA
238:BA-CVA
199:SA-CCR
160:Tier 2
155:Tier 1
718:(PDF)
689:(PDF)
664:. BIS
658:(PDF)
631:(PDF)
508:delta
459:as a
255:Basic
187:A-IRB
182:F-IRB
172:SA-CR
880:ISBN
862:ISBN
722:ISBN
693:ISBN
670:2022
635:ISBN
612:2019
512:vega
510:and
479:desk
426:and
386:and
360:FRTB
354:The
120:Risk
77:FRTB
72:NSFR
878:.
833:PwC
805:PwC
265:AMA
226:IMA
209:CCF
203:IMM
194:EAD
177:IRB
67:LCR
895::
874:.
860:.
856:.
660:.
581:^
572:.
560:^
489:.
122:/
113:/
104:/
730:.
701:.
672:.
643:.
614:.
358:(
343:e
336:t
329:v
20:)
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