Interpretive issues with respect to the revisions to the market risk framework.
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.
Questions which have been added since the previous version of the FAQs are shaded yellow, changes are shaded red.
- Publication Date: November 2011
- Publication Type: Faqs
- Publication Status: Consolidated
- Publication Category: Market Risk
- Number of Pages: 26
- Keywords: Value At Risk, Basel II, Incremental Risk Capital, Basel III, Standardised Method, IRC, Market Risk
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