| Subject Area | Financial Regulation and Supervision |
| Issuing Body | BCBS |
| Date of Issuance | February 2011 |
| Location | http://www.bis.org/publ/bcbs193.pdf |
| Summary Description |
This document sets out changes to the Basel II market risk framework and has been updated as of 31 December 2010 to reflect the adjustments to the Basel II market risk framework announced by the Basel Committee in its 18 June 2010 press release and the stress testing guidance for the correlation trading portfolio referred to in paragraph 9 of the July 2009 version of this document. Changes introduced by the Basel III framework are not yet reflected in the text . |
| Detailed Description |
This document sets out the following changes to the Basel II market risk framework and has been updated as of 31 December 2010 to reflect the adjustments to the Basel II market risk framework announced by the Basel Committee in its 18 June 2010 press release and the stress testing guidance for the correlation trading portfolio referred to in paragraph 9 of the July 2009 version of this document. Changes introduced by the Basel III framework are not yet reflected in the text . The trading book capital charge for a bank using the internal models approach for market risk will be subject to a general market risk capital charge (and a specific risk capital charge to the extent that the bank has approval to model specific risk) measured using a 10-day value-at-risk at the 99 percent confidence level and a stressed value-at-risk. A bank that has approval to model specific risk will also be subject to an incremental risk capital charge. The scope and implementation requirements for general market risk will remain unchanged from the current market risk regime. For a bank that has approval to model specific risk, the 10-day value-at-risk estimate will be subject to the same multiplier as for general market risk. The separate surcharge for specific risk under the current framework will be eliminated. |