Transcription of Basel Committee on Banking Supervision …
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Basel Committee on Banking Supervision …
Basel Committee on Banking Supervision Consultative Document Fundamental review of the trading book : outstanding issues Issued for comment by 20 February 2015 December 2014 This publication is available on the BIS website ( ). Bank for International Settlements 2014. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISBN 978-92-9197-022-3 (print) ISBN 978-92-9197-021-6 (online) Contents Background and Summary .. 1 1. Internal risk transfers between the Banking book and the trading book .. 3 Internal risk transfers of credit and equity risk .. 4 Internal risk transfers of interest rate 4 Way forward .. 6 2. The revised standardised approach for market risk .. 6 Key features of the standardised approach .. 7 Treatment of basis risk .. 8 Treatment of optionality: vega and curvature 11 Treatment of vega risk.
fundamental the review of trading book capital requirements. 1 As with the two previous consultative papers, the revisions to the capital framework set out in this paper aim to contribute to a more resilient banking sector by
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