Banks struggle with Basel 2.5
Banks are gearing up to comply with changes to the Basel Committee’s market risk framework from the beginning of 2012. But risk managers complain the rules are far from perfect and leave too much open to interpretation. Mark Pengelly reports
All eyes have been on the completion of the Basel III package of measures, including details on calibration and the transition period for new liquidity and leverage ratios and a credit value adjustment charge. But changes to trading book capital and the market risk framework – known as Basel 2.5 – are causing more immediate work for risk managers.
The rules, which were finalised in July 2009 with an adjustment in June this year, require banks to make significant changes to trading book capital
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