http://www.bis.org/list/bcbs/tid_137/index.rss Publications and updates by the Basel Committee on Banking Supervision (BCBS), including on topics related to the Basel II Framework and its implementation. Market risk en http://www.bis.org/bcbs/publ/d305.htm Abstract of "Fundamental review of the trading book: outstanding issues - consultative document", December 2014. The Basel Committee on Banking Supervision has today issued a consultative paper on outstanding issues for its fundamental review of the trading book capital standards. In undertaking its review, the Committee's goal is to improve trading book capital requirements and to promote consistent implementation of the rules so that they produce comparable levels of capital across jurisdictions. Fundamental review of the trading book: outstanding issues - consultative document 2014-12-19T13:10:00Z The Basel Committee on Banking Supervision has today issued a consultative paper on outstanding issues for its fundamental review of the trading book capital standards. In undertaking its review, the Committee's goal is to improve trading book capital requirements and to promote consistent implementation of the rules so that they produce comparable levels of capital across jurisdictions. Fundamental review of the trading book: outstanding issues - consultative document 2014-12-19T13:10:00Z BIS securitisation market risk Trading Book Basel 2.5 PDF version http://www.bis.org/bcbs/publ/d305.pdf December 2014 Bank for International Settlements: BCBS Publications 305 http://www.bis.org/bcbs/publ/d298.htm Abstract of "Reducing excessive variability in banks' regulatory capital ratios", November 2014. The Basel Committee's report to G20 Leaders sets out the measures the Committee is taking to improve consistency and comparability in bank capital ratios, and thereby to restore confidence in risk-weighted capital ratios. These measures include: policy proposals to revise the standardised (non-modelled) approaches for calculating regulatory capital ratios that will also provide the basis for a capital floor; and reducing the modelling choices in the capital framework when determining internal-model based estimates of credit, market and operational risk-weighted assets. The report also discusses the role of disclosure, implementation monitoring and additional analytical and policy work in progress. Reducing excessive variability in banks' regulatory capital ratios 2014-11-12T11:00:00Z Abstract of "Reducing excessive variability in banks' regulatory capital ratios", November 2014.The Basel Committee's report to G20 Leaders sets out the measures the Committee is taking to improve consistency and comparability in bank capital ratios, and thereby to restore confidence in risk-weighted capital ratios. These measures include: policy proposals to revise the standardised (non-modelled) approaches for calculating regulatory capital ratios that will also provide the basis for a capital floor; and reducing the modelling choices in the capital framework when determining internal-model based estimates of credit, market and operational risk-weighted assets. The report also discusses the role of disclosure, implementation monitoring and additional analytical and policy work in progress. Reducing excessive variability in banks' regulatory capital ratios 2014-11-12T11:00:00Z BIS risk weighted assets G20 report RWA variability PDF version http://www.bis.org/bcbs/publ/d298.pdf November 2014 Bank for International Settlements: BCBS Publications 298 http://www.bis.org/publ/bcbs288.htm The Basel Committee on Banking Supervision has today issued the results of the trading book test portfolio exercise that was conducted in parallel with the Basel Committee's Basel III monitoring exercise as of 31 December 2013. The report assesses the impact of proposals to revise the internal models-based approach for market risk, as set out in the second consultative paper of the Basel Committee's fundamental review of the trading book (October 2013). Analysis of the trading book hypothetical portfolio exercise 2014-09-09T13:13:00Z The Basel Committee on Banking Supervision has today issued the results of the trading book test portfolio exercise that was conducted in parallel with the Basel Committee's Basel III monitoring exercise as of 31 December 2013. The report assesses the impact of proposals to revise the internal models-based approach for market risk, as set out in the second consultative paper of the Basel Committee's fundamental review of the trading book (October 2013). Analysis of the trading book hypothetical portfolio exercise 2014-09-09T13:13:00Z BIS quantitative impact study market risk QIS Trading Book HPE hypothetical portfolio exercise PDF version http://www.bis.org/publ/bcbs288.pdf September 2014 Bank for International Settlements: BCBS Publications 288 http://www.bis.org/publ/bcbs268.htm Abstract of "Progress in adopting the principles for effective risk data aggregation and risk reporting", December 2013. Progress in adopting the principles for effective risk data aggregation and risk reporting 2013-12-18T10:00:00Z The progress report provides a snapshot of G-SIBs' overall preparedness to comply with the Principles, as well as the related challenges they face. G-SIBs are increasingly aware of the importance of this topic and have taken steps towards fully implementing the Principles. Nevertheless, many banks are facing difficulties in establishing strong data aggregation governance, architecture and processes, which collectively represent the initial stage of implementation. Instead, they resort to extensive manual workarounds. Notably, of the 30 banks that were identified as G-SIBs during 2011 and 2012, 10 reported that they will not be able to fully comply with the Principles by the 2016 deadline. The main reason reported is large, ongoing, multi-year IT and data-related projects. Progress in adopting the principles for effective risk data aggregation and risk reporting 2013-12-18T10:00:00Z BIS bank resolution corporate governance G-SIBs Self-assessment survey IT governance and infrastructure PDF version http://www.bis.org/publ/bcbs268.pdf December 2013 Bank for International Settlements: BCBS Publications 268 http://www.bis.org/publ/bcbs267.htm Abstract of "Regulatory consistency assessment programme (RCAP) - Second report on risk-weighted assets for market risk in the trading book", December 2013 The Basel Committee on Banking Supervision has today published its second report on the regulatory consistency of risk-weighted assets (RWAs) for market risk in the trading book. This study is a part of its wider Regulatory Consistency Assessment Programme (RCAP), which is intended to ensure consistent implementation of the Basel III framework. Regulatory Consistency Assessment Programme (RCAP) - Second report on risk-weighted assets for market risk in the trading book 2013-12-17T09:00:00Z The Basel Committee on Banking Supervision has today published its second report on the regulatory consistency of risk-weighted assets (RWAs) for market risk in the trading book. This study is a part of its wider Regulatory Consistency Assessment Programme (RCAP), which is intended to ensure consistent implementation of the Basel III framework. Regulatory Consistency Assessment Programme (RCAP) - Second report on risk-weighted assets for market risk in the trading book 2013-12-17T09:00:00Z BIS market risk Trading Book RWA Basel III RCAP PDF version http://www.bis.org/publ/bcbs267.pdf December 2013 Bank for International Settlements: BCBS Publications 267 http://www.bis.org/publ/bcbs265.htm Abstract of "Fundamental review of the trading book - second consultative document", October 2013 The Basel Committee on Banking Supervision has today issued a second consultative paper on the fundamental review of capital requirements for the trading book. The paper comprises a detailed set of proposals for a comprehensive revision of the market risk framework. This initiative forms part of the Committee's broader agenda to reform regulatory standards for banks in response to the financial crisis. Fundamental review of the trading book - second consultative document 2013-10-31T10:00:00Z Basel Committee's Fundamental review of the trading book - second consultative document The Basel Committee on Banking Supervision has today issued a second consultative paper on the fundamental review of capital requirements for the trading book. The paper comprises a detailed set of proposals for a comprehensive revision of the market risk framework. This initiative forms part of the Committee's broader agenda to reform regulatory standards for banks in response to the financial crisis. Fundamental review of the trading book - second consultative document 2013-10-31T10:00:00Z BIS market risk Trading Book Basel III Basel 2.5 Basel II.5 PDF version http://www.bis.org/publ/bcbs265.pdf October 2013 Bank for International Settlements: BCBS Publications 265 http://www.bis.org/publ/bcbs240.htm Abstract of "Regulatory consistency assessment programme (RCAP) - Analysis of risk-weighted assets for market risk", January 2013. This analysis of risk-weighted assets in the trading book is part of the wider Regulatory Consistency Assessment Programme (RCAP) initiated by the Committee in 2012; a similar analysis is currently under way for the banking book. The programme aims to ensure consistent implementation of the Basel framework, which will help strengthen the resilience of the global banking system, maintain market confidence in regulatory ratios and provide a level playing field for banks operating internationally. The report brings together two pieces of analysis. The first is based on an examination of publicly available bank data for a selection of large banks. It also contains the results of a hypothetical test portfolio exercise, in which 15 internationally active banks participated. The Basel Committee plans to conduct a further hypothetical test portfolio exercise later this year. This will include other, more complex, hypothetical test portfolios, with the aim of helping the Committee to deepen its analysis of the variation in risk measurement of trading books across banks. This report is a revised version of the report published in January 2013. The revision reflects a modification to Figure 9 regarding the results for portfolio 26. Regulatory consistency assessment programme (RCAP) - Analysis of risk-weighted assets for market risk 2013-01-31T10:30:00Z This analysis of risk-weighted assets in the trading book is part of the wider Regulatory Consistency Assessment Programme (RCAP) initiated by the Committee in 2012; a similar analysis is currently under way for the banking book. The programme aims to ensure consistent implementation of the Basel framework, which will help strengthen the resilience of the global banking system, maintain market confidence in regulatory ratios and provide a level playing field for banks operating internationally. The report brings together two pieces of analysis. The first is based on an examination of publicly available bank data for a selection of large banks. It also contains the results of a hypothetical test portfolio exercise, in which 15 internationally active banks participated. The Basel Committee plans to conduct a further hypothetical test portfolio exercise later this year. This will include other, more complex, hypothetical test portfolios, with the aim of helping the Committee to deepen its analysis of the variation in risk measurement of trading books across banks. This report is a revised version of the report published in January 2013. The revision reflects a modification to Figure 9 regarding the results for portfolio 26. Regulatory consistency assessment programme (RCAP) - Analysis of risk-weighted assets for market risk 2013-01-31T10:30:00Z BIS VAR Trading Book RWA Incremental risk charge IRC hypothetical test portfolio exercise SIGTB sVaR stressed value at risk PDF version http://www.bis.org/publ/bcbs240.pdf January 2013 Bank for International Settlements: BCBS Publications 240 http://www.bis.org/publ/bcbs239.htm Abstract of "Principles for effective risk data aggregation and risk reporting", January 2013. The financial crisis that began in 2007 revealed that many banks, including global systemically important banks (G-SIBs), were unable to aggregate risk exposures and identify concentrations fully, quickly and accurately. This meant that banks' ability to take risk decisions in a timely fashion was seriously impaired with wide-ranging consequences for the banks themselves and for the stability of the financial system as a whole. The Basel Committee's Principles for effective risk data aggregation will strengthen banks' risk data aggregation capabilities and internal risk reporting practices. Implementation of the principles will strengthen risk management at banks - in particular, G-SIBs - thereby enhancing their ability to cope with stress and crisis situations. Principles for effective risk data aggregation and risk reporting 2013-01-09T11:00:00Z The financial crisis that began in 2007 revealed that many banks, including global systemically important banks (G-SIBs), were unable to aggregate risk exposures and identify concentrations fully, quickly and accurately. This meant that banks' ability to take risk decisions in a timely fashion was seriously impaired with wide-ranging consequences for the banks themselves and for the stability of the financial system as a whole. The Basel Committee's Principles for effective risk data aggregation will strengthen banks' risk data aggregation capabilities and internal risk reporting practices. Implementation of the principles will strengthen risk management at banks - in particular, G-SIBs - thereby enhancing their ability to cope with stress and crisis situations. Principles for effective risk data aggregation and risk reporting 2013-01-09T11:00:00Z BIS bank resolution corporate governance data aggregation Risk reporting PDF version http://www.bis.org/publ/bcbs239.pdf January 2013 Bank for International Settlements: BCBS Publications 239 http://www.bis.org/publ/bcbs226.htm Abstract of BCBS/IOSCO consultative document "Margin requirements for non-centrally-cleared derivatives", July 2012 Margin requirements for non-centrally-cleared derivatives - consultative document 2012-07-06T20:00:00Z The G20 Leaders agreed in 2011 to add margin requirements on non-centrally-cleared derivatives to the reform programme for over-the-counter (OTC) derivatives markets. Margin requirements can further mitigate systemic risk in the derivatives markets. In addition, they can encourage standardisation and promote central clearing of derivatives by reflecting the generally higher risk of non-centrally-cleared derivatives. The consultative paper published today lays out a set of high-level principles on margining practices and treatment of collateral, and proposes margin requirements for non-centrally-cleared derivatives. Margin requirements for non-centrally-cleared derivatives - consultative document 2012-07-06T20:00:00Z BIS liquidity collateral re-hypothecation uncleared PDF version http://www.bis.org/publ/bcbs226.pdf July 2012 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/bcbs219.htm Abstract of "Fundamental review of the trading book - consultative document", May 2012 This consultative document sets out a revised market risk framework and proposes a number of specific measures to improve trading book capital requirements. These proposals reflect the Committee's increased focus on achieving a regulatory framework that can be implemented consistently by supervisors and which achieves comparable levels of capital across jurisdictions. Fundamental review of the trading book - consultative document 2012-05-03T10:00:00Z This consultative document sets out a revised market risk framework and proposes a number of specific measures to improve trading book capital requirements. These proposals reflect the Committee's increased focus on achieving a regulatory framework that can be implemented consistently by supervisors and which achieves comparable levels of capital across jurisdictions. Fundamental review of the trading book - consultative document 2012-05-03T10:00:00Z BIS Basel II Internal models Basel 2.5 PDF version http://www.bis.org/publ/bcbs219.pdf May 2012 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/bcbs208.htm Abstract of "Interpretive issues with respect to the revisions to the market risk framework - updates as of 16 November 2011", November 2011 Interpretive issues with respect to the revisions to the market risk framework - updates from 16 November 2011 2011-11-16T14:12:00Z In this document, the Basel Committee on Banking Supervision ("the Committee") provides responses to interpretive issues regarding the Revisions to the Basel II market risk framework ("the Revisions") and the Guidelines for computing capital for incremental risk in the trading book ("the IRC Guidelines"). Updated versions of this document will be published on the Committee's website if and when additional interpretive issues arise. Unless stated otherwise, paragraph numbers given in the remainder of this document refer to the International convergence of capital measurement and capital standards: A revised framework, comprehensive version, June 2006, as amended through the Revisions to the Basel II market risk framework (updated as of 31 December 2010), February 2011. Interpretive issues with respect to the revisions to the market risk framework - updates from 16 November 2011 2011-11-16T14:12:00Z BIS Basel II value at risk basel iii IRC standardised method incremental risk capital PDF version http://www.bis.org/publ/bcbs208.pdf November 2011 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/bcbs193.htm Full text of "Revisions to the Basel II market risk framework - updated as of 31 December 2010", February 2011 Revisions to the Basel II market risk framework - updated as of 31 December 2010 2011-02-11T14:54:00Z Revisions to the Basel II market risk framework - updated as of 31 December 2010 2011-02-11T14:54:00Z BIS disclosure requirements standardised measurement method internal models approach supervisory review process Standardised measurement approach discloser PDF version http://www.bis.org/publ/bcbs193.pdf February 2011 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/bcbs163.htm Abstract of the "Analysis of the trading book quantitative impact study" by the Basel Committee on Banking Supervision, October 2009. Analysis of the trading book quantitative impact study 2009-10-15T10:30:00Z Analysis of the trading book quantitative impact study 2009-10-15T10:30:00Z BIS quantitative impact study market risk Trading Book value-at-risk incremental risk correlation trading PDF version http://www.bis.org/publ/bcbs163.pdf October 2009 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/bcbs159.htm Full text of "Guidelines for computing capital for incremental risk in the trading book - final version", July 2009 Guidelines for computing capital for incremental risk in the trading book - final version 2009-07-13T20:00:00Z Guidelines for computing capital for incremental risk in the trading book - final version 2009-07-13T20:00:00Z BIS Basel II VAR IRB value-at-risk Incremental risk charge Internal Risk Based IRC PDF version http://www.bis.org/publ/bcbs159.pdf July 2009 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/bcbs158.htm Full text of "Revisions to the Basel II market risk framework - final version", July 2009 Revisions to the Basel II market risk framework - final version 2009-07-13T19:00:00Z Revisions to the Basel II market risk framework - final version 2009-07-13T19:00:00Z BIS iosco VAR Stress value at risk International organization of securities commission PDF version http://www.bis.org/publ/bcbs158.pdf July 2009 Bank for International Settlements: BCBS Publications