BCBS 267

From Open Risk Manual


BCBS 267 is a document published by the Basel Committee on Banking Supervision on December 2013 in the Basel III category.


Regulatory Consistency Assessment Programme (RCAP) - Second report on risk-weighted assets for market risk in the trading book.


The Basel Committee on Banking Supervision has today published its second report on the regulatory consistency of risk-weighted assets (RWAs) for market risk in the trading book. This study is a part of its wider Regulatory Consistency Assessment Programme (RCAP), which is intended to ensure consistent implementation of the Basel III framework.

Today's report, which follows up on an initial study conducted by the Committee that was published in January 2013, extended that earlier analysis to more representative and complex trading positions. Consistent with the findings in the January 2013 report, the results show significant variation in the outputs of market risk internal models used to calculate regulatory capital. In addition, the results show that variability typically increases for more complex trading positions. The analysis also re-confirms the finding that differences in modelling choices are a significant driver of variation in market risk RWAs across banks.

In terms of policy recommendations this study further supports reform areas identified in the earlier report and which are being addressed by the Committee's on-going reviews of the trading book framework and Pillar 3 requirements:

(i) improving public disclosure and the collection of regulatory data to aid the understanding of market risk RWAs;

(ii) narrowing the range of modelling choices for banks; and

(iii) further harmonising supervisory practices with regard to model approvals.

Document Profile

  • Publication Date: December 2013
  • Publication Type: Implementation Reports
  • Publication Status: Current
  • Publication Category: Basel III
  • Number of Pages: 91
  • Keywords: RWA, Market Risk, RCAP, Basel III, Trading Book

See Also


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