Analysis of the trading book quantitative impact study.
The Basel Committee on Banking Supervision issued today the results of its recent trading book quantitative impact study, which assesses the impact of the revisions to the 1996 rules governing trading book capital. These revisions, which were originally published by the Committee in January 2009, were subsequently adopted in July 2009.
Excluding the so-called correlation trading portfolio, the study concludes that the changes to the market risk framework will increase average trading book capital requirements by two to three times their current levels, although the Committee noted significant dispersion around this average. Based on the results of the study, the Committee decided to maintain the original calibration as proposed in its January consultative package and as adopted in July 2009.
- Publication Date: October 2009
- Publication Type: Qis
- Publication Status: Current
- Publication Category: Market Risk
- Number of Pages: 16
- Keywords: Market Risk, Quantitative Impact Study, Correlation Trading, Trading Book, Incremental Risk
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