Complexity Basel 2.5's biggest problem, Risk.net poll finds
As banks prepare for year-end introduction of new trading book rules, poll respondents single out the framework's modular approach for criticism
Eighty-one percent of respondents to a recent Risk.net poll say the biggest problem with Basel 2.5 – the new framework for trading book capital due to be implemented at the end of this year – is its modular approach, which requires up to five different calculations to be added together.
Potentially, firms calculating trading book capital under Basel 2.5 could be required to calculate a charge based on value-at-risk, a stressed VAR charge, an incremental risk charge (IRC), a standardised charge
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