Basel 2.5 - The Market Risk Framework


Date : Wednesday 12th September 2012
Time : 10:00 (GMT+1) - 11:00 (CET) - 14:30 (IST) - 17:00 (SGT)
Venue : Online - Webex

In May 2012 the Bank for International Settlements (BIS) published a consultative document on the ‘Fundamental review of the trading book’. It sets out a revised market risk framework and proposes a number of specific measures to improve trading book capital requirements. The document will be used for strengthening the capital standards for market risk, therefore contributing to a more resilient banking sector.

In this webinar, Ioannis Akkizidis, Global Product Manager, Wolters Kluwer Financial Services’ FRSGlobal, discussed the proposed elements of Market Risk Framework & Basel 2.5, highlighting the following issues:

  • New Capital Charges on Trading Books
  • Incremental Risk Measures (IRM)
  • Comprehensive Risk Measures (CRM)
  • Back Testing feasibility
  • Stress VaR (used in Capital Charges & Calibration to stress conditions)
  • Expected Shortfall
  • Market Illiquidity driven by Default and Credit Migration Risk
  • Implementing internal model-based approach: Direct / indirect : Stressed ES
  • Implementing Standardized approach: Partial / Fuller (Comparison of the two)
  • Treatment of hedging and diversification
Basel 2.5 - The Market Risk Framework
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