Transcription of Basel Committee on Banking Supervision
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Basel Committee on Banking Supervision
Basel Committee on Banking Supervision STANDARDS Minimum capital requirements for market risk January 2016 Note: Basel III revisions published in December 2017 affect the implementation date of this standard. This publication is available on the BIS website ( ). Bank for International Settlements 2015. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISBN 978-92-9197-399-6 (print) ISBN 978-92-9197-416-0 (online) Note: Basel III revisions published in December 2017 affect the implementation date of this standard. capital requirements for Market Risk iii Minimum capital requirements for Market Risk Contents Preamble .. 5 Minimum capital requirements for market risk .. 5 A. The boundary between the trading book and Banking book and the scope of application of the minimum capital requirements for market risk.
builds on the elements of the former Standardised Measurement Method for market risk, which allowed for the use of sensitivities in some risk treatments within a risk
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