Basel IV: Revised Standardised Approach for Market Risk

Herausgeber
PwC
Jahr
2016
Sprache
Deutsch
Dateigröße
457 KB
Datei Format
PDF

Abstrakt

Starting in 2012, the Basel Committee published several consultation papers on a Fundamental Review of the Trading Book (FRTB) to adapt existing rules for the capitalization of market risk to the lessons learned and shortcomings that became evident during the financial crisis. This fundamental review covers all aspects of minimum capital requirements for market risk such as the trading book – banking book boundary, the standardized approach as well as the use of internal market risk models.

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