From Open Risk Manual


BCBS D436 is a document published by the Basel Committee on Banking Supervision on March 2018 in the Market Risk category.


Revisions to the minimum capital requirements for market risk - consultative document, March 2018.


In January 2016, the Basel Committee on Banking Supervision published the standard Minimum capital requirements for market risk.

The proposals included in this consultative document are intended to address issues that the Basel Committee has identified in the course of monitoring the implementation and impact of the standard.

The consultative document includes proposed changes to the following aspects of the standard:

  • Changes to the measurement of the standardised approach to enhance its risk sensitivity;
  • Recalibration of standardised approach risk weights for general interest risk, equity risk and FX risk;
  • Revisions to the assessment process to determine whether a bank's internal risk management models appropriately reflect the risks of individual trading desks;
  • Clarifications to the requirements for identification of risk factors that are eligible for internal modelling; and
  • Clarifications to the scope of exposures that are subject to market risk capital requirements.

In addition, following the Committee's June 2017 consultation on proposals for a simplified alternative to the standardised approach, this consultative document proposes a recalibration of the BaselII standardised approach for use by banks with less material market risk exposures to determine their capital requirements.

The Committee welcomes comments on all aspects of this consultative document and the proposed standards text. Comments on the proposals should be uploaded hereby Wednesday20 June 2018. All comments will be published on the website of the Bank for International Settlements unless a respondent specifically requests confidential treatment.

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