Basel Committee adjusts market risk framework
A formal 8% floor is set for correlation trading capital charge following analysis of QIS results.
The Basel Committee on Banking Supervision has adjusted parts of its new market risk framework, six months after the end of a quantitative impact (QIS) study on the measures.
The most significant amendment is the setting of a floor on the capital held for correlation trading. When the revisions to the market risk framework were published last July, the Basel Committee declared that banks would be able to use their own internal models to calculate the capital charge for correlation books
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