BCBS D352
Definition
BCBS D352 is a document published by the Basel Committee on Banking Supervision on January 2016 in the Market Risk category.
Title
Minimum capital requirements for Market Risk.
Abstract
The 2007-08 period of severe market stress exposed weaknesses in the framework for capitalising risks from trading activities. In 2009, the Committee introduced a set of revisions to the Basel II market risk framework to address the most pressing deficiencies. A fundamental review of the trading book was also initiated to tackle a number of structural flaws in the framework that were not addressed by those revisions.This has led to the revised market risk framework, which is a key component of the Basel Committee's reform of global regulatory standards in response to the global financial crisis.
The purpose of the revised market risk framework is to ensure that the standardised and internal model approaches to market risk deliver credible capital outcomes and promote consistent implementation of the standards across jurisdictions. The final standard incorporates changes that have been made following two consultative documents published in October 2013 and December 2014 and several quantitative impact studies.
The key features of the revised framework include:
- A revised boundary between the trading book and banking book
- A revised internal models approach for market risk
- A revised standardised approach for market risk
- A shift from value-at-risk to an expected shortfall measure of risk under stress
- Incorporation of the risk of market illiquidity
An explanatory notehas been published to provide a non-technical description of the rationale and main features of the January 2016 revisions to the market risk framework.
The revised market risk framework comes into effect on 1 January 2019.
Document Profile
- Publication Date: January 2016
- Publication Type: Standards
- Publication Status: Superseded
- Publication Category: Market Risk
- Number of Pages: 92
- Keywords: Fundamental Review Of The Trading Book, Market Risk
See Also
Disclaimers
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