Regulatory consistency assessment programme (RCAP) - Analysis of risk-weighted assets for market risk.
The Basel Committee on Banking Supervision has today published its report on the regulatory consistency of risk-weighted assets for market risk. 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.
- Publication Date: January 2013
- Publication Type: Implementation Reports
- Publication Status: Current
- Publication Category: Implementation
- Number of Pages: 70
- Keywords: RWA, Market Risk, IRC, Stressed Value At Risk, SIGTB, VAR, Trading Book, Incremental Risk Charge
For definitive information on regulatory matters always consult primary sources, especially where it concerns legally binding rules and regulations.
The above regulatory document abstract is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all internet users. There is no explicit or implicit endorsement of this web service by the Bank of International Settlements. The copyright of the included material rests with the original authors (Links to the original texts are duly provided).